Regime-dependent impulse response functions in a Markov-switching vector autoregression model

Michael Ehrmann, Martin Ellison and Natacha Valla

Economics Letters, 2003, vol. 78, issue 3, 295-299

Date: 2003
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Working Paper: Regime-dependent impulse response functions in a Markov-switching vector autoregression model (2001)
Software Item: RATS program to replicate Ehrmann-Ellison-Valla(2003) regime dependent impulse response
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