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- W561387135 abstract "Prologue.- 1 The Markov-Switching Vector Autoregressive Model.- 2 The State-Space Representation.- 3 VARMA-Representation of MSI-VAR and MSM-VAR Processes.- 4 Forecasting MS-VAR Processes.- 5 The BLHK Filter.- 6 Maximum Likelihood Estimation.- 7 Model Selection and Model Checking.- 8 Multi-Move Gibbs Sampling.- 9 Comparative Analysis of Parameter Estimation in Particular MS-VAR Models.- 10 Extensions of the Basic MS-VAR Model.- 11 Markov-Switching Models of the German Business Cycle.- 12 Markov-Switching Models of Global and International Business Cycles.- 13 Cointegration Analysis of VAR Models with Markovian Shifts in Regime.- Epilogue.- References.- Tables.- Figures.- List of Notation." @default.
- W561387135 created "2016-06-24" @default.
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- W561387135 date "1997-08-26" @default.
- W561387135 modified "2023-10-01" @default.
- W561387135 title "Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis" @default.
- W561387135 hasPublicationYear "1997" @default.
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