Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
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Publication:472754
DOI10.1016/j.jeconom.2014.06.012zbMath1312.62108OpenAlexW2034985991MaRDI QIDQ472754
Helmut Lütkepohl, Helmut Herwartz
Publication date: 20 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1814/17175
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)
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