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Markov-switching vector autoregressions : modelling, statistical inference, and application to business cycle analysis

Author: Hans-Martin Krolzig
Publisher: Berlin ; New York : Springer, ©1997.
Series: Lecture notes in economics and mathematical systems, 454.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The book presents a systematic and operational approach to econometric modelling of time series subject to shifts in regime. The first part gives a comprehensive mathematical and statistical analysis of the Markov-switching vector autoregressive model. It deals with the theoretical properties and the statistical tools for empirical research. The discussed theoretical and practical developments will be of use to  Read more...
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Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
(DLC) 97019163
(OCoLC)36877444
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Hans-Martin Krolzig
ISBN: 9783642516849 364251684X
OCLC Number: 647646433
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (xiv, 357 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Contents: From the Contents: The Markov-Switching Vector Autoregressive Model --
The State-Space Representation --
VARMA-Representation of MSI-VAR and MSM-VAR Processes --
Forecasting MS-VAR Processes --
The BLHK Filter --
Maximum Likelihood Estimation --
Model Selection and Model Checking --
Multi-Move Gibbs Sampling --
Comparative Analysis of Parameter Estimation in Particular MS-VAR Models --
Extensions of the Basic MS-VAR Model --
Markov-Switching Models of the German Business Cycle --
Markov-Switching Models of Global and International Business Cycles --
Cointegration Analysis of VAR Models with Markovian Shifts in Regime.
Series Title: Lecture notes in economics and mathematical systems, 454.
Responsibility: Hans-Martin Krolzig.

Abstract:

This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. This study is intended to provide a systematic and operational ap-  Read more...

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