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MS-BSVAR

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MS-BSVAR

Postby bercerder » Mon Apr 27, 2015 3:47 pm

Hello!

How to choose optimal number of regimes for MS-BSVAR?

Thank you in advance.
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Re: MS-BSVAR

Postby jpfeifer » Tue Apr 28, 2015 5:42 am

There are no general guidelines. You could work from marginal data densities or similar criteria to determine the optimal number. But in practice people often have a strong prior and go for a small number of regimes as the data is often not sufficiently informative to provide insights into a bigger number of regimes.
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Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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