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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.
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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 | ||||
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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: |
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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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