Regime-dependent impulse response functions in a Markov-switching vector autoregression model.
In this paper we introduce identifying restrictions into a Markov-switching vector autoregression model. We define a separate set of impulse responses for each Markov regime to show how fundamental disturbances affect the variables in the model on the regime. We go to illustrate the use of these re...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Bank of Finland
2001
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