Matthieu Droumaguet

European University Institute

Villa Schifanoia

133 via Bocaccio

Firenze (Florence), Tuscany 50014

Italy

  • European University Institute

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Granger Causality and Regime Inference in Bayesian Markov-Switching VARs

ECB Working Paper No. 1794
Number of pages: 52 Posted: 23 Jun 2015
Matthieu Droumaguet, Anders Warne and Tomasz Wozniak
European University Institute, European Central Bank (ECB) and University of Melbourne - Department of Economics
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Abstract:

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Bayesian hypothesis testing; block Metropolis-Hastings sampling; Markov-switching models; mixture models; posterior odds ratio