Structural vector autoregressions with Markov switching

Markku Lanne; Helmut Luetkepohl; Katarzyna Maciejowska

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Structural vector autoregressions with Markov switching

机译：马尔可夫切换的结构矢量自回归

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摘要

It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across states. The model setup is formulated and discussed and it is shown how it can be used to test restrictions which are just-identifying in a standard structural vector autoregressive analysis. The approach is illustrated by two SVAR examples which have been reported in the literature and which have features that can be accommodated by the MS structure.

机译：有人认为，在结构矢量自回归（SVAR）分析中，如果减小的形式误差协方差矩阵在各个状态之间变化，则可以利用马尔可夫状态切换（MS）属性来识别冲击。建立并讨论了模型设置，并显示了如何将其用于测试在标准结构矢量自回归分析中刚刚确定的约束。通过文献中已报道的两个SVAR示例说明了该方法，这些示例具有可由MS结构容纳的功能。

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来源
《Journal of Economic Dynamics and Control》 |2010年第2期|121-131|共11页
作者
Markku Lanne; Helmut Luetkepohl; Katarzyna Maciejowska;
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作者单位

Department of Economics, University of Helsinki, P.O. Box 17 (Arkadiankatu 7), FI-00014, Finland;

Department of Economics, European University Institute, Via della Piazzola 43,I-50133 Firenze, Italy;

Department of Economics, European University Institute, Via della Piazzola 43,I-50133 Firenze, Italy;

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正文语种 eng
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关键词
cointegration; markov regime switching model; vector error correction model; structural vector autoregression;

机译：协整马可夫政权切换模型;矢量误差校正模型;结构向量自回归;

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1. Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity [J] . Journal of Economic Dynamics and Control . 2020,第Apra期

机译：通过马尔可夫切换异方差确定结构矢量自回归的贝叶斯推断
2. Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks [J] . Herwartz Helmut, Luetkepohl Helmut Journal of Econometrics . 2014,第1期

机译：具有马尔可夫切换的结构矢量自回归：将常规与冲击的统计识别相结合
3. Impulse-response functions in Markov-switching structural vector autoregressions: A step further [J] . F. Karame Economics letters . 2010,第3期

机译：马尔可夫交换结构矢量自回归中的脉冲响应函数：再进一步
4. Model performance between linear vector autoregressive and Markov switching vector autoregressive models on modelling structural change in time series data [C] . Phoong Seuk Wai, Sek Siok Kun, Mohd Tahir Ismail, 2015 International Symposium on Mathematical Sciences and Computing Research . 2015

机译：线性向量自回归模型与马尔可夫切换向量自回归模型之间的模型性能，对时间序列数据的结构变化建模
5. On the political determinants of sovereign risk: Evidence from a Markov-switching vector error-correction model for Argentina. [D] . Sottile, Pedro Damian. 2009

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6. The impact of TV mass media campaigns on calls to a National Quitline and the use of prescribed nicotine replacement therapy: a structural vector autoregression analysis [O] . Houra Haghpanahan, Daniel F. Mackay, Jill P. Pell, -1

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7. Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity [O] . Helmut Lütkepohl, Tomasz Woźniak 2020

机译：Markov-Switching HotosoSkEyastity鉴定的结构矢量自动转移的贝叶斯推断

Structural vector autoregressions with Markov switching

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