Structural vector autoregressions with Markov switching

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Eco 2011/11 Department of Economics Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks

In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is base...

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ژورنال

عنوان ژورنال: Journal of Economic Dynamics and Control

سال: 2010

ISSN: 0165-1889

DOI: 10.1016/j.jedc.2009.08.002