Methods for Inference in Large Multiple-Equation Markov-Switching Models
By Christopher A. Sims, Daniel F. Waggoner, Tao Zha. 2008
267 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/c2f6fa32c2ac2d351260821582ed4a27cf163a27
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Helmut Lütkepohl
- Katarzyna Maciejowska
- Fang Xu
- Markku Lanne
- Francesco Bianchi
- S. Kaufmann
- Muhammad Shahbaz
- Pentti Saikkonen
Citations in the corpus
- The role of the log transformation in forecasting economic variables (2010, background): “series from the middle of the 1980s onward (e.g., Sims and Zha (2006), Sims, Waggoner and Zha (2008) , Lanne and L˜utkepohl (2008)).”
- Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics (2013, methodology): “Sims et al. (2008) explain how to draw from the elliptical distribution.”
- Structural Vector Autoregressions with Markov Switching (2010, methodology): “The algorithms proposed by Sims et al. (2008) may be useful in this context and may help to overcome numerical problems in difficult situations.”
- K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation? (2015, methodology): “Bayesian estimation of Markov regime switching models is by now well developed in the literature (Chib 1996, Frühwirth-Schnatter 2006, Sims et al. 2008) and many applications have proved the model to be useful in the analysis of economic data.”
- Monetary Policy Regime Shifts and Inflation Persistence (2009, unknown): “…rate of per capita real GDP. Similarly, the prior mean of the steady-state inflation rate (Π) in the model is set to match the average inflation 24 Sims, Waggoner, and Zha (2008) argue that Geweke’s (1999) method is not robust when the posterior distribution may be non-Gaussian due to…”
- Trends and Cycles in China’s Macroeconomy (2016, unknown): “By “composite” we mean that the regime- switching index may encode distinct Markov processes for different parameters (Sims and Zha 2006; Sims et al. 2008) or deterministic discrete jumps according to different dates displayed in table 2.”
- Vector Autoregressive Models (2011, methodology): “Alternatively, one may use Bayesian estimation methods (see, e.g., Sims et al. (2008)).”