Impulse response function analysis for Markov switching VAR models

DOI10.1016/J.ECONLET.2023.111357MaRDI QIDQ6140025

Maddalena Cavicchioli

Publication date: 19 January 2024

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

zbMATH Keywords

Markov switchingimpulse response functionstate-space representationvector autoregression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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