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Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach.

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Title: Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach.
Authors: Bognanni, Mark1 markbognanni@gmail.com, Herbst, Edward2 edward.p.herbst@frb.gov
Source: Working Papers: U.S. Federal Reserve Board's Finance & Economic Discussion Series. Dec2015, preceding p1-54. 56p.
Database: Business Source Ultimate
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        Value: 10.17016/FEDS.2015.116
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        Text: English
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      – TitleFull: Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach.
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              Text: Dec2015
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