(1997), Markov-Switching Vector Autoregressions, New York: Springer.Krolzig, H.-M. (1997), Markov Switching Vector Autoregressions: Modelling, Statistical Inference, and an Application to Business Cycle Inference, Springer, Berlin.Krolzig, H-M., 1997, Markov Switching Vector Autoregressions: ...
However, generalizations to the vector case are also considered.doi:10.1007/978-3-642-51684-9_2Hans-Martin KrolzigSpringer Berlin HeidelbergKROLZIG H M. The Markov-switching vector autoregressive model[M].Springer: Markov-Switching Vector Autoregressions, 1997:6 -28....
Maciejowska, 2010, "Structural Vector Autoregressions with Markov Switching," Journal of Economic Dynamics and Control, 34, 121-131.M. Lanne, H. Lutkepohl, and K. Maciejowska. Structural vector autoregressions with markov switching. Journal of Economic Dynamics and Control, 34(2): 121-131, ...
Lütkepohl, HelmutWozniak, TomaszDIW Berlin, German Institute for Economic ResearchDiscussion Papers of Diw BerlinLu¨tkepohl, H. and Wo´zniak, T. (2017). Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedastic- ity, Technical report, DIW Berlin....
These difficulties and remedies are likely to be useful generally for Bayesian inference in large time-series models. The paper includes some discussion of model specification issues that apply particularly to structural vector autoregressions with a Markov-switching structure. 展开 ...
Cite this chapter Markov-Switching Vector Autoregressions Hans-Martin Krolzig Part of the book series:Lecture Notes in Economics and Mathematical Systems((LNE,volume 454)) 716Accesses Abstract The statistical measurement of business cycles has recently experienced a revival of interest. Empirical business...
Markov-Switching Structural Vector Autoregressions: Theory and Application,” mimeo, Federal Reserve Bank of Atlanta - Rubio-Ramirez, Waggoner, et al. - 2005Rubio-Ramirez, J. F., Waggoner, D. and Zha, T. (2005), Markov switching structural vector autoregressions: Theory and application, Federal...
This paper constructs a five-variable Markov switching vector autoregressions (Markov switching VAR) model based on oil prices, oil aggregate supply, oil aggregate demand, global oil inventory, and oil speculative demand. Specifically, we build this model to study the impact of different oil shocks...
In this study, Bayesian inference is developed for structural vector autoregressive models in which the structural parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in the homoskedastic case, become over-identifying and can be ...
In this work, we give simple matrix formulae for maximum likelihood estimates of parameters in a broad class of vector autoregressions subject to Markovian changes in regime. This allows us to determine explicitly the asymptotic variance鈥揷ovariance matrix of the estimators, giving a concrete ...