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~institution:"Department of Economics, European University Institute"
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Cointegration
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Markov regime switching model
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mixed normal distribution
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structural vector autoregression
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vector error correction model
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Luetkepohl, Helmut
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Department of Economics, European University Institute
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Structural Vector Autoregressions with Markov Switching
Lanne, Markku
;
Luetkepohl, Helmut
;
Maciejowska, Katarzyna
-
Department of Economics, European University Institute
-
2009
It is argued that in structural vector autoregressive (SVAR) analysis a
Markov
regime
switching
(MS) property can be …
Persistent link: https://www.econbiz.de/10005697711
Saved in:
2
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
Lanne, Markku
;
Luetkepohl, Helmut
-
Department of Economics, European University Institute
-
2008
analysis. We exploit
Markov
regime
switching
models to identify shocks in cointegrated structural vector autoregressions and …
Persistent link: https://www.econbiz.de/10005744277
Saved in:
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