Browsing Department of Economics (ECO) by Subject "vector error"

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Browsing Department of Economics (ECO) by Subject "vector error"

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    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LANNE, Markku; LUETKEPOHL, Helmut; MACIEJOWSKA, Katarzyna Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...