Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity
利用两状态马尔可夫转换异方差识别贝叶斯 VEC 模型的结构冲击
We develop a Bayesian framework for cointegrated structural VAR models identified by two-state Markovian breaks in conditional covariances. The resulting structural VEC specification with Markov-switching heteroskedasticity (SVEC-MSH) is formulated in the so-called B-parameterization, in which the prior distribution is specified directly for the matrix of the instantaneous reactions of the endogenous variables to structural innovations. We discuss some caveats pertaining to…