An algorithm for generalized impulse-response functions in Markov-switching structural VAR
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DOI: 10.1016/j.econlet.2012.04.089
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- Frédéric Karamé, 2012. "An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR," Documents de recherche 12-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- F. Karamé, 2012. "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Post-Print hal-02877971, HAL.
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Citations
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- Markku Lanne & Henri Nyberg, 2016.
"Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(4), pages 595-603, August.
- Markku Lanne & Henri Nyberg, 2014. "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models," CREATES Research Papers 2014-17, Department of Economics and Business Economics, Aarhus University.
- Cavicchioli, Maddalena, 2023. "Impulse response function analysis for Markov switching var models," Economics Letters, Elsevier, vol. 232(C).
- Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.
- Kole, Erik & van Dijk, Dick, 2023.
"Moments, shocks and spillovers in Markov-switching VAR models,"
Journal of Econometrics, Elsevier, vol. 236(2).
- Erik Kole & Dick van Dijk, 2022. "Moments, Shocks and Spillovers in Markov-switching VAR Models," Tinbergen Institute Discussion Papers 21-080/III, Tinbergen Institute, revised 11 Jan 2022.
- repec:bny:wpaper:0096 is not listed on IDEAS
- Karamé, Frédéric, 2015.
"Asymmetries and Markov-switching structural VAR,"
Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 85-102.
- Frédéric Karamé, 2015. "Asymmetries and Markov-switching structural VAR," Post-Print hal-02296101, HAL.
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More about this item
Keywords
Structural VAR; Markov-switching regime; Generalized impulse-response function;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
Statistics
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