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dc.contributor.authorEHRMANN, Michael
dc.contributor.authorELLISON, Martin
dc.contributor.authorVALLA, Natacha
dc.date.accessioned2011-04-19T12:47:24Z
dc.date.available2011-04-19T12:47:24Z
dc.date.issued2003
dc.identifier.citationEconomics letters, 2003, 78, 3, 295-299
dc.identifier.issn0165-1765
dc.identifier.urihttps://hdl.handle.net/1814/16451
dc.description.abstractThis 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.isoen
dc.publisherElsevier Science Sa
dc.relation.isbasedonhttp://hdl.handle.net/1814/4910
dc.subjectimpulse response
dc.subjectMarkov-switching
dc.subjectvector autoregression
dc.titleRegime-Dependent Impulse Response Functions in a Markov-Switching Vector Autoregression Model
dc.typeArticle
dc.neeo.contributorEHRMANN|Michael|aut|
dc.neeo.contributorELLISON|Martin|aut|
dc.neeo.contributorVALLA|Natacha|aut|
dc.identifier.volume78
dc.identifier.startpage295
dc.identifier.endpage299
eui.subscribe.skiptrue
dc.identifier.issue3
dc.description.versionThe article is a revised version of a chapter [3] of the author’s EUI PhD thesis, 2000


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