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Structural vector autoregressions with Markov switching

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Listed author(s):
  • Lanne, Markku
  • Lütkepohl, Helmut
  • Maciejowska, Katarzyna

Abstract

It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across states. The model setup is formulated and discussed and it is shown how it can be used to test restrictions which are just-identifying in a standard structural vector autoregressive analysis. The approach is illustrated by two SVAR examples which have been reported in the literature and which have features that can be accommodated by the MS structure.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(09)00148-1
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 34 (2010)
Issue (Month): 2 (February)
Pages: 121-131

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Handle: RePEc:eee:dyncon:v:34:y:2010:i:2:p:121-131
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

Keywords: Cointegration Markov regime switching model Vector error correction model Structural vector autoregression;

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Find related papers by JEL classification:
  • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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