Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts

Hans‐Martin Krolzig

85 citations0/0 files stored

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Global Financial Crisis and Policies Financial Risk and Volatility Modeling

Abstract

This paper suggests a new methodological approach to the analysis of cointegrated linear systems subject to changes in regime. We consider cointegrated vector autoregressive processes where Markovian shifts occur in the equilibrium mean and the drift of the system. A two-stage maximum likelihood estimation technique is proposed. In the first stage, based on a finite order VAR approximation of the cointegrated VARMA representation, the Johansen cointegration analysis is invoked to determine the cointegration rank and to estimate the cointegration matrix. An EM algorithm delivers the maximum likelihood estimates of the remaining parameters. The methodology is illustrated with an investigation of international and global business cycles. Keywords: Cointegration; Markov switching; Structural Breaks; Cobreaking. JEL Classification: C50. C32, F47. Most of this research was carried out while the author was visiting the Sonderforschungsbereich 373. Financial support from the Deutsche Forsch...

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 85 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1993Introduction to Multiple Time Series Analysis 1996Making wald tests work for cointegrated VAR systems 1997Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis

Cited by

2008The asymmetric effects of oil shocks on output growth: A Markov–Switching analysis for the G-7 countries 2015Regime switching model of US crude oil and stock market prices: 1859 to 2013 2018Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach 2004A Markov regime switching approach for hedging stock indices 2000Predicting Markov-Switching Vector Autoregressive Processes

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.