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Bayesian Markov-Switching Vector Autoregressive Process

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  • Battulga Gankhuu

Abstract

This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed--form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte--Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector.

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  • Battulga Gankhuu, 2024. "Bayesian Markov-Switching Vector Autoregressive Process," Papers 2404.11235, arXiv.org.
    • Handle: RePEc:arx:papers:2404.11235
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    References listed on IDEAS

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