most citedA Bayesian Markov-switching SAR model for time-varying cross-price spillovers

3 citations · 3 across the 1 of their papers we have counts for

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stat.AP2023★ 3 cited

A Bayesian Markov-switching SAR model for time-varying cross-price spillovers

Christian Glocker, Matteo Iacopini, Tamás Krisztin +1

The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the…