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Causality and Regime Inference in a Markov Switching VAR
16 references·7 citing·43 second hop
Causality and Regime Inference in a Markov Switching VAR (2000)Causality and Regime Inference in a Marko…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Moments of Markov switching models (2000)Moments of Markov switching m…The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach (1999)The Asymmetric Effects of Mon…Numerical distribution functions of likelihood ratio tests for cointegration (1999)Numerical distribution functi…Money and output viewed through a rolling window (1998)Money and output viewed throu…Specification testing in Markov-switching time-series models (1996)Specification testing in Mark…Price Level Targeting vs. Inflation Targeting: A Free Lunch? (1996)Price Level Targeting vs. Inf…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Measuring Business Cycles: A Modern Perspective (1994)Measuring Business Cycles: A …Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Interpreting Evidence on Money-Income Causality (1987)Interpreting Evidence on Mone…The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)The Optimal Degree of Commitm…Expectations and the neutrality of money (1972)Expectations and the neutrali…Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis (2018)Risk transmission between nat…Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model (2015)Causality between inflation a…Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences (2015)Bifurcation of Macroeconometr…The causal nexus between oil prices and equity market in the U.S.: A regime switching model (2013)The causal nexus between oil …Markov-Switching Vector Autoregressive Models: Monte Carlo experiment, impulse response analysis, and Granger-Causal analysis (2012)Markov-Switching Vector Autor…A sneeze in the U.S., a cough in Japan, but pneumonia in Taiwan? 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References

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  • 1972Expectations and the neutrality of money4,826 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1985The Optimal Degree of Commitment to an Intermediate Monetary Target3,687 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1993Vector Autoregressions and Causality867 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 1987Interpreting Evidence on Money-Income Causality559 cited
  • 1996Specification testing in Markov-switching time-series models476 cited
  • 1994Measuring Business Cycles: A Modern Perspective363 cited
  • 2000Moments of Markov switching models336 cited
  • 1999The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach333 cited
  • 1998Money and output viewed through a rolling window319 cited

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  • 1996Price Level Targeting vs. Inflation Targeting: A Free Lunch?285 cited
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    • 2013The causal nexus between oil prices and equity market in the U.S.: A regime switching model73 cited
    • 2018Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis41 cited
    • 2004Business cycle analysis with multivariate Markov switching models38 cited
    • 2015Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model26 cited
    • 2015Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences24 cited
    • 2006A sneeze in the U.S., a cough in Japan, but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model22 cited
    • 2012Markov-Switching Vector Autoregressive Models: Monte Carlo experiment, impulse response analysis, and Granger-Causal analysis16 cited