Structural vector autoregressions with Markov switching

Journal of Economic Dynamics and Control

Volumn 34, Issue 2, 2010, Pages 121-131

  Lanne, Markku ^a   Lütkepohl, Helmut ^b   Maciejowska, Katarzyna ^b  

^a UNIVERSITY OF HELSINKI   (Finland)

^b EUROPEAN UNIVERSITY INSTITUTE   (Italy)

Author keywords

Cointegration; Markov regime switching model; Structural vector autoregression; Vector error correction model

Indexed keywords

EID: 72549099730     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2009.08.002     Document Type: Article

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