Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
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"Commodity prices and the business cycle in Latin America: Living and dying by commodities?,"
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- 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; asymmetries; impulse response function;
- 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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