| dc.contributor.author | EHRMANN, Michael | |
| dc.contributor.author | ELLISON, Martin | |
| dc.contributor.author | VALLA, Natacha | |
| dc.date.accessioned | 2011-04-19T12:47:24Z | |
| dc.date.available | 2011-04-19T12:47:24Z | |
| dc.date.issued | 2003 | |
| dc.identifier.citation | Economics letters, 2003, 78, 3, 295-299 | |
| dc.identifier.issn | 0165-1765 | |
| dc.identifier.uri | https://hdl.handle.net/1814/16451 | |
| dc.description.abstract | 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. | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | en |
| dc.relation.isbasedon | http://hdl.handle.net/1814/4910 | |
| dc.subject | Impulse response | |
| dc.subject | Markov-switching | |
| dc.subject | Vector autoregression | |
| dc.title | Regime-Dependent Impulse Response Functions in a Markov-Switching Vector Autoregression Model | |
| dc.type | Article | |
| dc.identifier.volume | 78 | |
| dc.identifier.startpage | 295 | |
| dc.identifier.endpage | 299 | |
| eui.subscribe.skip | true | |
| eui.subscribe.skip | true | |
| dc.identifier.issue | 3 | |
| dc.description.version | The article is a revised version of a chapter [3] of the author’s EUI PhD thesis, 2000 | |