Impulse-response functions in Markov-switching structural vector autoregressions: A step further
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- Frédéric Karamé, 2010. "Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further," Documents de recherche 10-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Karamé, F., 2012.
"An algorithm for generalized impulse-response functions in Markov-switching structural VAR,"
Elsevier, vol. 117(1), pages 230-234.
- Frédéric Karamé, 2012. "An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR," Documents de recherche 12-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
- Maximo Camacho & Gabriel Perez-Quiros, 2014.
"Commodity Prices and the Business Cycle in Latin America: Living and Dying by Commodities?,"
Emerging Markets Finance and Trade,
Taylor & Francis Journals, vol. 50(2), pages 110-137.
- Maximo Camacho & Gabriel Perez-Quiros, 2013. "Commodity prices and the business cycle in Latin America: Living and dying by commodities," Working Papers 1304, Banco de España;Working Papers Homepage.
- Camacho, Maximo & Pérez-Quirós, Gabriel, 2013. "Commodity prices and the business cycle in Latin America: Living and dying by commodities?," CEPR Discussion Papers 9367, C.E.P.R. Discussion Papers.
- Karamé, Frédéric, 2015. "Asymmetries and Markov-switching structural VAR," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
More about this item
KeywordsStructural VAR Markov-switching model Impulse-response function State asymmetry Regime-dependent IRF;
- 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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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