Bayesian estimation of stochastic-transition Markov-switching models for business cycle analysis
M Billio, R Casarin - 2010 - Citeseer
… The presence of latent factors and nonlinearities calls for the use of simulation-based inference methods. We propose a full Bayesian inference approach which can be naturally …
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… The presence of latent factors and nonlinearities calls for the use of simulation-based inference methods. We propose a full Bayesian inference approach which can be naturally …