Bayesian Inference in Regime-Switching ARMA Models With Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Regime Shifts
含吸收态的状态切换ARMA贝叶斯推断:事前实际利率动态
One goal of this article is to develop an efficient Metropolis–Hastings (MH) algorithm for estimating an ARMA model with a regime-switching mean, by designing a new efficient proposal distribution for the regime-indicator variable. Unlike the existing algorithm, our algorithm can achieve reasonably fast convergence to the posterior distribution even when the latent regime-indicator variable is highly persistent or when there exist absorbing states. Another goal is to…