Fully Bayesian Analysis of Switching Gaussian State Space Models

Frühwirth-Schnatter, Sylvia (2000) Fully Bayesian Analysis of Switching Gaussian State Space Models. Forschungsberichte / Institut für Statistik, 73. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.


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In the present paper we study switching state space models from a Bayesian point of view. For estimation, the model is reformulated as a hierarchical model. We discuss various MCMC methods for Bayesian estimation, among them unconstrained Gibbs sampling, constrained sampling and permutation sampling. We address in detail the problem of unidentifiability, and discuss potential information available from an unidentified model. Furthermore the paper discusses issues in model selection such as selecting the number of states or testing for the presence of Markov switching heterogeneity. The model likelihoods of all possible hypotheses are estimated by using the method of bridge sampling. We conclude the paper with applications to simulated data as well as to modelling the U.S./U.K. real exchange rate. (author's abstract)

Item Type: Paper
Keywords: Bayesian analysis / bridge sampling / Markov switching models / MCMC methods / model selection / state space models
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 12 Jul 2006 05:46
Last Modified: 22 Oct 2019 00:41
URI: https://epub.wu.ac.at/id/eprint/812


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