Structural Vector Autoregressions with Markov Switching
Helmut Luetkepohl and
Katarzyna Maciejowska ()
Authors registered in the RePEc Author Service: Helmut Lütkepohl ()
No ECO2009/06, Economics Working Papers from European University Institute
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)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-ore
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Journal Article: Structural vector autoregressions with Markov switching (2010)
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