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Regime-dependent impulse response functions in a Markov-switching vector autoregression model

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UNSPECIFIED (2003) Regime-dependent impulse response functions in a Markov-switching vector autoregression model. ECONOMICS LETTERS, 78 (3). pp. 295-299.

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Abstract

This paper combines both Markov-switching and structural identifying restrictions in a vector autoregression model. The resulting regime-dependent impulse response functions show how the reaction of variables in the model to fundamental disturbances differs across regimes. (C) 2002 Elsevier Science B.V. All rights reserved.

Item Type: Journal Article
Subjects: H Social Sciences > HC Economic History and Conditions
Journal or Publication Title: ECONOMICS LETTERS
Publisher: ELSEVIER SCIENCE SA
ISSN: 0165-1765
Official Date: March 2003
Dates:
DateEvent
March 2003UNSPECIFIED
Volume: 78
Number: 3
Number of Pages: 5
Page Range: pp. 295-299
Publication Status: Published

Data sourced from Thomson Reuters' Web of Knowledge

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