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Markov switching multinomial logit model: An application to accident-injury severities
Accident Analysis and Prevention, 2009Fred Mannering
exaly
Essays in Markov switching causality
This thesis extends the framework developed by Psaradakis et al. (2005) for the analysis of Markov switching Granger causality in three different ways. In the first chapter, the bivariate VAR setting is extended to a trivariate one to provide a comprehensive account of the evolution of macroeconomic causal relationships of the monetary rules ...openaire +1 more source
Markov switching negative binomial models: An application to vehicle accident frequencies
Accident Analysis and Prevention, 2009Fred Mannering, Andrew P Tarko
exaly
Overseas market shocks and VKOSPI dynamics: A Markov-switching approach
Finance Research Letters, 2016Wonho Song, Doojin Ryu, Robert I Webb
exaly
Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
Journal of the American Statistical Association, 2001Sylvia Frühwirth-Schnatter
exaly
2019
This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of model parameters.
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This paper extends the Bayesian proxy SVAR model (BP-SVAR) of Caldara and Herbst (2019) to examine changes in the transmission of structural shocks in the presence of regime shifts in an economy. I provide a Metropolis-within-Gibbs sampling algorithm to approximate the posterior distribution of model parameters.
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