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16-107/III - A Bayesian Infinite Hidden Markov Vector Autoregressive Model


  • Authors
    Didier Nibbering, Erasmus University Rotterdam, The Netherlands; Richard Paap, Erasmus University Rotterdam, The Netherlands; Michel van der Wel, Erasmus University Rotterdam, The Netherlands
  • Publication date
    December 6, 2016
  • Keywords
    Time-Varying Parameter Vector Autoregressive Model, Semi-parametric Bayesian Inference, Dirichlet Process Mixture Model, Hidden Markov Chain, Monetary Policy Analysis, Real-time Forecasting
  • JEL
    C11, C14, C32, C51, C54