Regime-dependent impulse response functions in a Markov-switching vector autoregression model
نویسندگان
چکیده
منابع مشابه
Impulse-Response Analysis in Markov Switching Vector Autoregressive Models
By utilizing the state-space representation of Markov-switching vector autoregressive models, we develop impulse response functions with regards to shocks to variables of the system The proposed analysis in related to the concept of generalized impulse responses introduced by Koop, Pesaran and Potter (1996) but characterizes the properties of the model dynamics in a more concise form. In contra...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2003
ISSN: 0165-1765
DOI: 10.1016/s0165-1765(02)00256-2