arXiv 17 Apr 2024 · Econometrics
arXiv:2404.11235 · PDF · DOI · OpenAlex · Extracted main text
This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we provide closed-form density functions and Monte-Carlo simulation algorithms, including the importance sampling method. The Monte-Carlo simulation method departs from the previous simulation methods because it removes the duplication in a regime vector.
appendix boundary found by appendix_titled_section at “Appendix A: Proofs of Propositions” · 76% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Banbura10 APACrefauthors Bańbura, M. , Giannone, D. \ Reichlin, L. A… (2010) 2010 | 0.874 | 6 | 2 | 100% |
| 2 | Battulga24a APACrefauthors Battulga, G. APACrefauthors \ (2024) 2024 2 | 0.874 | 5 | 2 | 100% |
| 3 | Hamilton94 APACrefauthors Hamilton, J D. APACrefauthors \ (1994) 1994 | 0.843 | 4 | 4 | 75% |
| 4 | McNeil05 APACrefauthors McNeil, A J. , Frey, R. \ Embrechts, P. APAC… (2005) 2005 | 0.843 | 3 | 3 | 100% |
| 5 | Glasserman00 APACrefauthors Glasserman, P. , Heidelberger, P. \ Shah… (2000) 2000 | 0.644 | 2 | 2 | 100% |
| 6 | Kim94 APACrefauthors Kim, C J. APACrefauthors \ (1994) 1994 | 0.644 | 2 | 2 | 100% |
| 7 | Litterman79 APACrefauthors Litterman, R. APACrefauthors \ (1979) 1979 | 0.644 | 2 | 2 | 100% |
| 8 | Sims80 APACrefauthors Sims, C A. APACrefauthors \ (1980) 1980 | 0.585 | 3 | 1 | 100% |
| 9 | Lutkepohl05 APACrefauthors Lütkepohl, H. APACrefauthors \ (2005) 2005 | 0.511 | 2 | 2 | 50% |
| 10 | Zucchini16 APACrefauthors Zucchini, W. , MacDonald, I L. \ Langrock,… (2016) 2016 | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 26 scored citations.