CMStatistics 2021: Start Registration
View Submission - CFE
A1171
Title: A flexible approach towards time-varying parameter VAR models Authors:  Boris Blagov - RWI - Leibniz Institute for Economic Research (Germany) [presenting]
Abstract: A flexible Bayesian VAR framework is proposed which incorporates regime-switching along with time-varying parameters and develops a new estimation method for Markov-switching models that permits inference even when a regime is not visited. The usefulness of this approach is evaluated in a Monte Carlo exercise with artificial data.