Rational Expectations in a VAR with Markov Switching

Mårten Blix ()

Working Papers from Stockholm - International Economic Studies

Abstract: This pape shows how a well known class of rational expectations hypotheses using linear vector autoregressions (VARs) can be extended to allow for unobservable Markov switching. The regime shift model used falls into the general framework of Hamilton (1990), but differs to the centered model actually implemented by Hamilton and others.

Keywords: STATISTICS (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 37 pages
Date: 1997
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Citations: View citations in EconPapers (5)

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Working Paper: Rational Expectations in a VAR with Markov Switching (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:stocin:627

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