Impulse-Response Functions in Markov-Switching Structural Vector AutoRegressions: a Step Further

Ehrmann et al. (2003) proposed an IRF in the frame of Markov- Switching structurally VARs. Their IRF provides insights on the dynamics within the regime in which the shock occurs. We propose an IRF that captures the global response of the system and illustrate its use with examples.

MoreLess

Year of publication:	2010
Authors:	Karamé, Frédéric
Institutions:	Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne
Subject:	Structural VAR \| Markov-Switching model \| impulse response function \| state asymmetry \| regime-dependent IRF

More details

Extent:	application/pdf
Series:	Documents de recherche.
Type of publication:	Book / Working Paper
Notes:	Number 10-03 10 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/10010635698