Markov Switching Causality and the Money-Output Relationship
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- Morten O. Ravn & Zacharias Psaradakis & Martin Sola, 2005. "Markov switching causality and the money-output relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 665-683.
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More about this item
Keywordsgranger causality; markov chain; regime switching; structural instability;
- 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
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2003-07-16 (Econometrics)
- NEP-MAC-2003-07-17 (Macroeconomics)
- NEP-MON-2003-07-13 (Monetary Economics)
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