Autori
LUETKEPOHL, Helmut
LANNE, Markku
MACIEJOWSKA, Katarzyna

Titolo
Structural Vector Autoregressions with Markov Switching
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2009 - Fascicolo: 6 - Pagina iniziale: 1 - Pagina finale: 20

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.




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