OLS Estimation of Markov switching VAR models: asymptotics and application to energy use
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DOI: 10.1007/s10182-020-00383-4
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More about this item
Keywords
Markov switching VAR model; OLS estimator; Asymptotic covariance matrix; Energy use; Economic growth;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
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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