Autori:
LUETKEPOHL, Helmut ,
HERWARTZ, Helmut Titolo:
Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocksPeriodico:
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papersAnno:
2011 - Fascicolo:
11 - Pagina iniziale:
1 - Pagina finale:
37In 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. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a short-term interest rate. The sys- tem has been used for studying the causes of the early millennium economic slowdown based on traditional identification with zero and long-run restric- tions and using sign restrictions. We find that previously drawn conclusions are questionable in our framework.
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