Structural vector autoregression with time varying transition probabilities: identifying uncertainty shocks via changes in volatility

Wenjuan Chen and Aleksei Netšunajev

No wp2018-02, Bank of Estonia Working Papers from Bank of Estonia

Keywords: structural vector autoregression; Markov switching; time varying transition probabilities; identification via heteroscedasticity; uncertainty shocks; unemployment dynamics (search for similar items in EconPapers)
JEL-codes: C32 D80 E24 (search for similar items in EconPapers)
Date: 2018-02-13, Revised 2018-02-13
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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