Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2013
a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model accommodates changes … in low and high data frequencies and endogenous time-varying transition matrices of the country-specific Markov chains …. The transition matrix of each Markov chain depends on its own past history and on the history of the other chains, thus …