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Title:Structural Vector Autoregressions with Markov Switching Author(s):LANNE, Markku; LUETKEPOHL, Helmut
; MACIEJOWSKA, KatarzynaDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/06Abstract: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. ...
; MACIEJOWSKA, KatarzynaDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/06Abstract: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. ...
Title:A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
Title:Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/29Abstract: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 ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/29Abstract: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 ...