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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.
Full text not available from this repository, contact author.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: |
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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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