Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis

Publication date: 17 September 1997

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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