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- W3122817488 abstract "Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes, which switches according to a two-state Markov chain with transition probabilities depending on how long the process has been in a state. In the present paper I propose a MCMC-based methodology to carry out inference on the model's parameters and introduce DDMSVAR for Ox, a software written by the author for the analysis of time series by means of DDMS-VAR models. An application of the methodology to the U.S. business cycle concludes the article." @default.
- W3122817488 created "2021-02-01" @default.
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- W3122817488 date "2005-03-11" @default.
- W3122817488 modified "2023-09-27" @default.
- W3122817488 title "Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions: MCMC Inference, Software and Applications" @default.
- W3122817488 hasPublicationYear "2005" @default.
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