Structural Vector Autoregressions with Markov Switching

Markku Lanne, Helmut Luetkepohl and Katarzyna Maciejowska (katarzyna.maciejowska@pwr.wroc.pl)
Authors registered in the RePEc Author Service: Helmut Lütkepohl

No ECO2009/06, Economics Working Papers from European University Institute

Abstract: It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. The model setup is formulated and discussed and it is shown how it can be used to test restrictions which are just-identifying in a standard structural vector autoregressive analysis. The approach is illustrated by two SVAR examples which have been reported in the literature and which have features which can be accommodated by the MS structure.

Keywords: Cointegration; Markov regime switching model; vector error correction model; structural vector autoregression; mixed normal distribution (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://cadmus.eui.eu/dspace/bitstream/1814/10674/1/ECO_2009_06.pdf main text
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://cadmus.eui.eu/dspace/bitstream/1814/10674/1/ECO_2009_06.pdf [301 Moved Permanently]--> https://cadmus.eui.eu/dspace/bitstream/1814/10674/1/ECO_2009_06.pdf)

Related works:
Journal Article: Structural vector autoregressions with Markov switching (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco2009/06

Access Statistics for this paper

More papers in Economics Working Papers from European University Institute Badia Fiesolana, Via dei Roccettini, 9, 50014 San Domenico di Fiesole (FI) Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Cécile Brière (cecile.briere@eui.eu).