Methods for measuring expectations and uncertainty in Markov-switching models

DOI10.1016/j.jeconom.2015.08.004zbMath1419.62502OpenAlexW3122937772MaRDI QIDQ894639

Francesco Bianchi

Publication date: 2 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.08.004

zbMATH Keywords

momentsuncertaintyexpectationsDSGEimpulse responsesMarkov-switching VAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

Related Items

Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation, Spectral representation and autocovariance structure of Markov switching DSGE models, MCMC for Markov-switching models—Gibbs sampling vs. marginalized likelihood, Moments, shocks and spillovers in Markov-switching VAR models, The origins and effects of macroeconomic uncertainty, News-Driven Uncertainty Fluctuations, MODELING THE EVOLUTION OF EXPECTATIONS AND UNCERTAINTY IN GENERAL EQUILIBRIUM

Uses Software

• bvarsv

Cites Work

• Unnamed Item
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