Browsing ECO Working Papers by Subject "Markov regime switching model"

DSpace/Manakin Repository

Browsing ECO Working Papers by Subject "Markov regime switching model"

Sort by: Order: Results:

  • Icon
    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. ...
  • Icon
    Title: Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector ...