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Browsing by Subject "vector autoregression"
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Title:Regime-Dependent Impulse Response Functions in a Markov-Switching Vector Autoregression Model
Author(s):EHRMANN, Michael; ELLISON, Martin; VALLA, NatachaDate:2003Type of Publication:ArticleAbstract: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 ...