Asymmetric Properties of Impulse Response Functions in Markov-Switching Structural Vector AutoRegressions

We propose a methodology extending the structural VAR approach to nonlinear Markov-Switching framework. We present the exact IRFs and discuss their properties as regards the different types of asymmetries (sign, size, state) and assumptions on transition probabilities. We propose a statistical methodology for discriminating some asymmetric properties of the system.

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Year of publication:	2010
Authors:	Karamé, Frédéric ; Olmedo, Alexandra
Institutions:	Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne
Subject:	Structural VAR \| Markov-switching model \| asymmetries \| impulse response function

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Extent:	application/pdf
Series:	Documents de recherche.
Type of publication:	Book / Working Paper
Notes:	Number 10-04 9 pages
Classification:	C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010635722