Impulse response function analysis for Markov switching var models
Author:
Funder
Università Degli Studi di Modena e Reggio Emila
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference25 articles.
1. Inference on filtered and smoothed probabilities in Markov switching autoregressive models;Alvarez;J. Bus. Econom. Statist.,2018
2. Spectral density of Markov-switching VARMA models;Cavicchioli;Econom. Lett.,2013
3. Determining the number of regimes in Markov–switching VAR and VMA models;Cavicchioli;J. Time Series Anal.,2014
4. Analysis of the likelihood function for Markov switching VAR(CH) models;Cavicchioli;J. Time Series Anal.,2014
5. Higher order moments of Markov switching VARMA models;Cavicchioli;Econom. Theory,2017
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