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dc.contributor.authorLUETKEPOHL, Helmut
dc.contributor.authorLANNE, Markku
dc.contributor.authorMACIEJOWSKA, Katarzyna
dc.date.accessioned2010-03-02T16:15:35Z
dc.date.available2010-03-02T16:15:35Z
dc.date.issued2010
dc.identifier.citationJournal of Economic Dynamics and Control, 2010, 34, 2, 121-131en
dc.identifier.urihttps://hdl.handle.net/1814/13398
dc.description.abstractIt 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 setup is formulated and discussed and it is shown how it can be used to test restrictions which are just-identifying in a standard structural vector autoregressive analysis. The approach is illustrated by two SVAR examples which have been reported in the literature and which have features that can be accommodated by the MS structure.en
dc.language.isoenen
dc.relation.ispartofJournal of Economic Dynamics and Controlen
dc.titleStructural Vector Autoregressions with Markov Switchingen
dc.typeArticleen
dc.neeo.contributorLUETKEPOHL|Helmut|aut|EUI70007
dc.neeo.contributorLANNE|Markku|aut|
dc.neeo.contributorMACIEJOWSKA|Katarzyna|aut|
dc.identifier.volume34en
dc.identifier.startpage121en
dc.identifier.endpage131en


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