Structural vector autoregressions with Markov switching

DOI10.1016/j.jedc.2009.08.002zbMath1181.62136OpenAlexW2120736696WikidataQ61626582 ScholiaQ61626582MaRDI QIDQ846505

Katarzyna Maciejowska, Markku Lanne, Helmut Lütkepohl

Publication date: 9 February 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/10674

zbMATH Keywords

cointegrationstructural vector autoregressionvector error correction modelMarkov regime switching model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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Uses Software

• bvarsv

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• On White Noises Driven by Hidden Markov Chains
• Time Varying Structural Vector Autoregressions and Monetary Policy