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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. ISSN 0165-1765
Full text not available from this repository.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 |
| Date: | March 2003 |
| Volume: | 78 |
| Number: | 3 |
| Number of Pages: | 5 |
| Page Range: | pp. 295-299 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/10071 |
Data sourced from Thomson Reuters' Web of Knowledge
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