Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Year of publication: |
2014
|
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Authors: | Herwartz, Helmut ; Lütkepohl, Helmut |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 183.2014, 1, p. 104-116
|
Subject: | Vector autoregressive model | Markov process | EM algorithm | Impulse responses | VAR-Modell | VAR model | Markov-Kette | Markov chain | Schock | Shock | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Kointegration | Cointegration |
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