MCMC估计TV-VAR具体研究文献有哪些
时间: 2023-08-05 20:05:25 浏览: 41
以下是一些关于 MCMC 估计 TV-VAR 模型的研究文献:
1. Durbin, J., & Koopman, S. J. (2012). Time series analysis by state space methods. Oxford University Press. (这本书的第11章介绍了利用 MCMC 方法估计 TV-VAR 模型的方法)
2. Chan, J. C., & Koop, G. (2018). Efficient Bayesian Inference for Time-Varying Parameter VAR Models. Journal of Business & Economic Statistics, 36(3), 431-445.
3. Lopes, H. F., & Polson, N. G. (2011). Bayesian analysis of time-varying parameter vector autoregressions. Journal of Business & Economic Statistics, 29(4), 552-563.
4. Kim, C. J., & Nelson, C. R. (1999). State-space models with regime switching: Classical and Gibbs-sampling approaches with applications. MIT Press.
5. Carriero, A., & Kapetanios, G. (2016). Forecasting exchange rates with a large Bayesian VAR. Journal of Applied Econometrics, 31(7), 1371-1391.
这些文献提供了不同的方法和应用案例,可以帮助研究者深入了解 MCMC 估计 TV-VAR 模型的原理和应用。