Phenomena such as the Great Moderation have increased the attention of macro-economists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime...

Phenomena such as the Great Moderation have increased the attention of macro-economists towards models where shock processes are not (log-) normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime...

Topics in Structural VAR Econometrics Second, Revised and Enlarged Edition -- Copyright -- Foreword -- Contents -- Chapter 1 From VAR models to Structural VAR models -- Chapter 2 Identification analysis and F.I.M.L. estimation for the K-Model -- Chapter 3 Identification analysis and F.I.M.L....