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An algorithm for generalized impulse-response functions in Markov-switching structural VAR

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  • Karamé, F.

Abstract

We transpose the Generalized Impulse-Response Function (GIRF) developed by Koop et al. (1996) to Markov-Switching structural VARs. As the algorithm displays an exponentially increasing complexity as regards the prediction horizon, we use the collapsing technique to easily obtain simulated trajectories (shocked or not), even for the most general representations. Our approach encompasses the existing IRFs proposed in the literature and is illustrated with an applied example on gross job flows.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 117 (2012)
Issue (Month): 1 ()
Pages: 230-234

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:230-234

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: Structural VAR; Markov-switching regime; Generalized impulse-response function;

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Cited by:
  1. Markku Lanne & Henri Nyberg, 2014. "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models," CREATES Research Papers 2014-17, School of Economics and Management, University of Aarhus.

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