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- W4387079710 abstract "We exactly derive the regime-dependent impulse response functions for a Markov switching vector autoregression (VAR) model in terms of neat matrix expressions in closed form. The key is to recognize that the latent first-order Markov switching process in the model has a VAR(1) representation, and that the model can be cast into a state-space form. Using such a representation, the regime-dependent impulse response function analysis can be processed with respect to either an asymmetric discrete shock or to a symmetric continuous shock. Our results extend and correct those obtained by Ehrmann et al. (2003) and coincide with those by Hamilton (1994) for the case of standard VAR models." @default.
- W4387079710 created "2023-09-28" @default.
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- W4387079710 date "2023-11-01" @default.
- W4387079710 modified "2023-10-05" @default.
- W4387079710 title "Impulse response function analysis for Markov switching var models" @default.
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- W4387079710 doi "https://doi.org/10.1016/j.econlet.2023.111357" @default.
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