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Detecting unemployment hysteresis : a simultaneous unobserved components model with Markov switching

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State-dependent variations in the expected illiquidity premium

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Duration Dependent Markov-Switching Vector Autoregression : Properties, Bayesian Inference, Software and Application

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Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...

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Modelling macroeconomic trilemma and central bank behaviour in Nigeria : a Markov-switching approach

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