16-107/III - A Bayesian Infinite Hidden Markov Vector Autoregressive Model

• Authors
  Didier Nibbering, Erasmus University Rotterdam, The Netherlands; Richard Paap, Erasmus University Rotterdam, The Netherlands; Michel van der Wel, Erasmus University Rotterdam, The Netherlands
• Publication date
  December 6, 2016

• Keywords
  Time-Varying Parameter Vector Autoregressive Model, Semi-parametric Bayesian Inference, Dirichlet Process Mixture Model, Hidden Markov Chain, Monetary Policy Analysis, Real-time Forecasting
• JEL
  C11, C14, C32, C51, C54