Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models
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DOI: 10.1111/jtsa.12587
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- Cavicchioli, Maddalena, 2024. "A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
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