Stochastic model specification in Markov switching vector error correction models

A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis

Automated Estimation of Vector Error Correction Models

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially a¤ect the form of the model and its interpretation. ...

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...

The Relationship between Education and Health: Vector Error Correction Model (VECM)

Background & objectives: Despite the importance and impact of health and education on economic growth in countries, the causal relationship between education and health is important to policymaking. This study aimed to investigate the causality relationship between education and health in the short and long runs using the Vector Error Correction Model (VECM) in Iran. Method: This was an analyt...

Survey of Money- Output Causality: Case Study of Iran, Based on Vector Error Correction Model (VECM)

This study investigated the dynamic relationship between money, prices and output in a multivariate structure of casualty analysis in Iran for the two period of 1969 to 2012 (entire period) and 1989 to 2012 (sub-period). This statistical framework has been projected for situations where causal links may have changed over the sample period. Results of a three-variable Vector Error Correction Mod...