Markov Switching Panel with Network Interaction Effects
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- Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022.
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
- Michael T. Owyang & Jeremy M. Piger & Daniel Soques, 2019. "Contagious Switching," Working Papers 2019-014, Federal Reserve Bank of St. Louis, revised 28 Feb 2021.
- Antonio Pacifico, 2019. "Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems," Econometrics, MDPI, vol. 7(1), pages 1-24, March.
More about this item
KeywordsBayesian inference; interacting Markov chains; Metropolis adjusted Langevin; panel Markov-switching.;
All these keywords.
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2018-02-05 (Econometrics)
- NEP-URE-2018-02-05 (Urban & Real Estate Economics)
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