Abstract
The general framework for ML estimation of the MS(M)-VAR(p) model was laid out in Chapter 6. In Chapter 8 the methodological issues of Gibbs sampling and its conceptional differences to the EM algorithm have been discussed. In this chapter, we will focus on the technical aspects of estimation of the VAR coefficients under the various types of restrictions.1
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Note that in Hamilton [1990] only the univariate MSIA(M)-AR(p) model is discussed explicitly. The MSI(M)-AR(p) model and the MSIH(M)-AR(p) model are discussed under the assumption p = 0, which is a very crucial restriction for purposes of time series analysis. It is therefore important to relax it here.
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© 1997 Springer-Verlag Berlin Heidelberg
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Krolzig, HM. (1997). Comparative Analysis of Parameter Estimation in Particular MS-VAR Models. In: Markov-Switching Vector Autoregressions. Lecture Notes in Economics and Mathematical Systems, vol 454. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-51684-9_10
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DOI: https://doi.org/10.1007/978-3-642-51684-9_10
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-63073-9
Online ISBN: 978-3-642-51684-9
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