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Rational Expectations in a VAR with Markov Switching

Author

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  • Blix, M

Abstract

This pape shows how a well known class of rational expectations hypotheses using linear vector autoregressions (VARs) can be extended to allow for unobservable Markov switching. The regime shift model used falls into the general framework of Hamilton (1990), but differs to the centered model actually implemented by Hamilton and others.

Suggested Citation

  • Blix, M, 1997. "Rational Expectations in a VAR with Markov Switching," Papers 627, Stockholm - International Economic Studies.
    • Handle: RePEc:fth:stocin:627
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    Cited by:

    1. Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 399-412.
    2. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.
    3. Marçal, Emerson Fernandes, 2024. "Testing rational expectations in a cointegrated VAR with structural change," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    4. Beyaert, Arielle & Garcia-Solanes, Jose & Perez-Castejon, Juan J., 2007. "Uncovered interest parity with switching regimes," Economic Modelling, Elsevier, vol. 24(2), pages 189-202, March.
    5. Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.

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    Keywords

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • 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

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