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Structural vector autoregressions with Markov switching · Study

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ArticleStructural vector autoregressions with Markov switching

Markku Lanne2009

OA

Articlegreen2009

Structural vector autoregressions with Markov switching

Markku Lanne · Helmut Lütkepohl · Katarzyna Maciejowska

224 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Monetary Policy and Economic Impact Control Systems and Identification Economic theories and models

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References

1980Macroeconomics and Reality 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances 2005Time Varying Structural Vector Autoregressions and Monetary Policy 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure 1998Monetary Policy Shocks: What Have We Learned and to What End?2005Drifts and volatilities: monetary policies and outcomes in the post WWII US

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2016Identification and estimation of non-Gaussian structural vector autoregressions 2013Structural vector autoregressions 2021Feedbacks: Financial Markets and Economic Activity 2014Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks 2012DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS

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2012DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARSarticle · 11 shared references 2017GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATESarticle · 10 shared references 2014Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocksarticle · 9 shared references 2016Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomicschapter · 8 shared references 2013Structural vector autoregressionschapter · 8 shared references 2013How to Solve the Price Puzzle? A Meta‐Analysisarticle · 8 shared references

Details

Year2009

Typearticle

Published2009-08-26

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations224

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.jedc.2009.08.002

openalex_workW2120736696

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