Econometric Modelling of Markov-Switching Vector Autoregressions using MSVAR for Ox
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Duration dependent Markov-switching VAR (from now on DDMSVAR) models are time series models with data generating process consisting in a mixture of two VAR processes, which switches according to a two-state Markov chain with transition probabilities depending on how long the process has been in a state. Interesting applications of this class of models have been carried out in business cycle ana...
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تاریخ انتشار 1998