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Markov Switching Causality and the Money-Output Relationship

Psaradakis, Zacharias; Ravn, Morten O; Sola, Martin - C.E.P.R. Discussion Papers - 2003

The empirical relationship between money and output is one of the most studied issues in macroeconomics, and a large literature has examined the causal links between monetary variables and output. One puzzle from this literature is that the results of causality tests appear to be sensitive with...

Persistent link: https://www.econbiz.de/10005114140

Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching

Psaradakis, Zacharias G. - In: Journal of econometrics 86 (1998) 2, pp. 369-386

Persistent link: https://www.econbiz.de/10001243479

Intrinsic bubbles and regime-switching

Driffill, John - In: Journal of monetary economics 42 (1998) 2, pp. 357-373

Persistent link: https://www.econbiz.de/10001249309

Maximum likelihood estimation in possibly misspecified dynamic models with time-inhomogeneous Markov regimes

Pouzo, Demian; Psaradakis, Zacharias G.; Sola, Martin - 2016

Persistent link: https://www.econbiz.de/10011610480

On model selection and Markov switching : a empirical examination of term structure models with regime shifts

Driffill, John; Kenç, Turalay; Sola, Martin; Spagnolo, … - 2003

Persistent link: https://www.econbiz.de/10001903065

Risk premia with Markov regimes and the term structure of interest rates

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - 2002

Persistent link: https://www.econbiz.de/10001717801

Instrumental-variables estimation in Markov switching models, with an application to testing the unbiased forward exchange rate hypothesis

Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - 2000

Persistent link: https://www.econbiz.de/10001583871

A test for volatility spillovers

Sola, Martin; Spagnolo, Fabio; Spagnolo, Nicola - In: Economics letters 76 (2002) 1, pp. 77-84

Persistent link: https://www.econbiz.de/10001672147

On Markov error-correction models, with an application to stockprices and dividends

Psaradakis, Zacharias G.; Sola, Martin; Spagnolo, Fabio - In: Journal of applied econometrics 19 (2004) 1, pp. 69-88

Persistent link: https://www.econbiz.de/10001924673

Investment under uncertainty with stochastically switching profit streams : entry and exit over business cycle

Driffill, John (contributor); Raybaudi, Marzia (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 7 (2003) 1

Persistent link: https://www.econbiz.de/10002004094

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