Faculté des sciences économiques et sociales

## A flexible prior distribution for Markov switching autoregressions with Student-t errors

### In: Journal of Econometrics

This paper proposes an empirical Bayes approach for Markov switching autoregressions that can constrain some of the state-dependent parameters (regression coefficients and error variances) to be approximately equal across regimes. By flexibly reducing the dimension of the parameter space, this can help to ensure regime separation and to detect the Markov switching nature of the data. The... More