Date: 2003
Type: Article

Regime-Dependent Impulse Response Functions in a Markov-Switching Vector Autoregression Model

Economics letters, 2003, 78, 3, 295-299  
 
EHRMANN, Michael, ELLISON, Martin, VALLA, Natacha, Regime-Dependent Impulse Response Functions in a Markov-Switching Vector Autoregression Model, Economics letters, 2003, 78, 3, 295-299   - https://hdl.handle.net/1814/16451

Retrieved from Cadmus, EUI Research Repository

This paper combines both Markov-switching and structural identifying restrictions in a vector autoregression model. The resulting regime-dependent impulse response functions show how the reaction of variables in the model to fundamental disturbances differs across regimes.
 
Cadmus permanent link: https://hdl.handle.net/1814/16451
ISSN: 0165-1765
Publisher: Elsevier
Keyword(s): impulse response Markov-switching vector autoregression
Earlier different version: http://hdl.handle.net/1814/4910
Version: The article is a revised version of a chapter [3] of the author’s EUI PhD thesis, 2000

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