Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions
We propose a methodology extending the structural VAR approach to nonlinear Markov-Switching framework. We present the exact IRFs and discuss their properties as regards the different types of asymmetries (sign, size, state) and assumptions on transition probabilities. We propose a statistical methodology for discriminating some asymmetric properties of the system.
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