Infinite hidden markov switching VARs with application to macroeconomic forecast
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DOI: 10.1016/j.ijforecast.2017.06.006
Abstract: This paper develops vector autoregressive models with infinite hidden Markov structures, motivated by the recent empirical success of hierarchical Dirichlet process mixture models in financial and macroeconomic applications. We begin by developing a new Markov… read more here.
Keywords: hidden markov; markov switching; markov; switching vars ... See more keywords