Structural Vector Autoregressions with Markov Switching
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- Lanne, Markku & Lütkepohl, Helmut & Maciejowska, Katarzyna, 2010. "Structural vector autoregressions with Markov switching," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 121-131, February.
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More about this item
Keywords
Cointegration; Markov regime switching model; vector error correction model; structural vector autoregression; mixed normal distribution;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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2009-02-28 (Central Banking)
- NEP-ECM-2009-02-28 (Econometrics)
- NEP-ETS-2009-02-28 (Econometric Time Series)
- NEP-ORE-2009-02-28 (Operations Research)
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