Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications
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References listed on IDEAS
- Sichel, Daniel E, 1991.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Shyh-Wei Chen & Chung-Hua Shen, 2007. "Evidence of the duration-dependence from the stock markets in the Pacific Rim economies," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1461-1474.
More about this item
KeywordsMarkov-switching; Business cycle; Gibbs sampling; Duration dependence; Vector autoregression;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
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