Structural vector autoregressions with Markov switching

Markku Lanne, Helmut Lütkepohl and Katarzyna Maciejowska ()

Journal of Economic Dynamics and Control, 2010, vol. 34, issue 2, 121-131

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 states. 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 that can be accommodated by the MS structure.

Keywords: Cointegration; Markov; regime; switching; model; Vector; error; correction; model; Structural; vector; autoregression (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (187)

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Related works:
Working Paper: Structural Vector Autoregressions with Markov Switching (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:34:y:2010:i:2:p:121-131

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