Browsing ECO Articles by Author "MACIEJOWSKA, Katarzyna"

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Browsing ECO Articles by Author "MACIEJOWSKA, Katarzyna"

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    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LUETKEPOHL, Helmut; LANNE, Markku; MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Article 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 states. The model ...