Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks (Q472754)
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scientific article; zbMATH DE number 6371432
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| English | Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks |
scientific article; zbMATH DE number 6371432 |
Statements
Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks (English)
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20 November 2014
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vector autoregressive model
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Markov process
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EM algorithm
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impulse responses
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0.9118079543113708
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0.8109415173530579
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0.7888558506965637
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0.7858690619468689
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0.7827611565589905
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