Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks

DOI10.1016/j.jeconom.2014.06.012zbMath1312.62108OpenAlexW2034985991MaRDI QIDQ472754

Helmut Lütkepohl, Helmut Herwartz

Publication date: 20 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/17175

zbMATH Keywords

EM algorithmMarkov processimpulse responsesvector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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