El-Shagi, Makram; Schweinitz, Gregor von - Institut für Wirtschaftsforschung Halle (IWH) - 2012
Due to the recent financial crisis, the interest in econometric models that allow to incorporate binary variables (such as the occurrence of a crisis) experienced a huge surge. This paper evaluates the performance of the Qual VAR, i.e. a VAR model including a latent variable that governs the...