Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Helmut Herwartz; Helmut Lütkepohl
| Year of publication: |
2014
|
|---|---|
| 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 | Theorie | Theory | Schock | Shock | VAR-Modell | VAR model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010506080