Mixed-frequency VAR models with Markov-switching dynamics

DOI10.1016/J.ECONLET.2013.09.010zbMath1288.91145OpenAlexW1972454838MaRDI QIDQ2453034

Maximo Camacho

Publication date: 6 June 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2013.09.010

zbMATH Keywords

business cyclestime seriesoutput growth

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (1)

Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach

Cites Work

• Dynamic linear models with Markov-switching
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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