Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
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- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
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More about this item
Keywords
Bayesian Modelling; Panel VAR; Markov-switching; International Business Cycles; Interaction mechanisms;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2015-09-26 (European Economics)
- NEP-ETS-2015-09-26 (Econometric Time Series)
- NEP-MAC-2015-09-26 (Macroeconomics)
- NEP-ORE-2015-09-26 (Operations Research)
Statistics
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