Structural vector autoregressions with Markov switching
نویسندگان
چکیده
منابع مشابه
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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F ollowing seminal work by Sims (1980a, 1980b), the economics profession has become increasingly concerned with studying sources of economic fluctuations. Sims’s use of vector autoregressions (VARs) made it possible to address both the relative importance and the dynamic effect of various shocks on macroeconomic variables. This type of empirical analysis has had at least two important consequen...
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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