Title:Markov-Switching Vector Autoregressive Models: Monte Carlo experiment, impulse response analysis, and Granger-Causal analysis Author(s):DROUMAGUET, MatthieuDate:2012Citation:
- Florence : European University Institute, 2012
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes generate convenient nonlinear dynamics to econometric models, ...
Title:Three Essays in Time Series Econometrics Author(s):KASCHA, ChristianDate:2007Citation:
- Florence, European University Institute, 2007
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:This thesis deals with different topics in time series econometrics that belong, broadly speaking, to the area of macroeconometrics. That is, topics and methods are investigated which are of interest to applied researchers ...