Methods for inference in large multiple-equation Markov-switching models
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- Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," FRB Atlanta Working Paper 2006-22, Federal Reserve Bank of Atlanta.
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Keywords
Density overlap New MHM Incremental and discontinuous changes Composite Markov process Integrated-out likelihood;Statistics
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