Impulse response function analysis for Markov switching VAR models
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Analysis of the likelihood function for Markov-switching VAR(CH) models
- Analysis of time series subject to changes in regime
- Asymptotic Fisher information matrix of Markov switching VARMA models
- Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
- Autocovariance structure of Markov regime switching models and model selection
- Consistent estimation of the number of regimes in Markov-switching autoregressive models
- Determining the number of regimes in Markov switching VAR and VMA models
- Higher order moments of Markov switching VARMA models
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
- Likelihood ratio-based tests for Markov regime switching
- Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
- On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
- SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
- Spectral density of Markov-switching VARMA models
- Stationarity of multivariate Markov-switching ARMA models
- The spectral representation of Markov switching ARMA models
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