Regime-dependent Impulse Response Functions in a Markov-switching Vector Autoregression Model.

In this paper we introduce identifying restrictions into a Markov-switching vector autoregression model. We define a separate set of impulse responses for each Markov regime to show how fundamental disturbances affect the variables in the model dependent on the regime. We go to illustrate the use of these regime-dependent impulse response functions in a model of the U.S. economy.

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Year of publication:	2001
Authors:	Ehrmann, M. ; Ellison, M. ; Valla, N.
Subject:	PRICES \| OIL INDUSTRY \| AUTOREGRESSION MODEL

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Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C25 - Discrete Regression and Qualitative Choice Models ; L71 - Mining, Extraction, and Refining: Hydrocarbon Fuels
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005775709