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Structural Vector Autoregressions with Markov Switching

其他書名	Combining Conventional with Statistical Identification of Shocks
出版	European University Institute, 2011
URL	http://books.google.com.hk/books?id=hNS3twAACAAJ&hl=&source=gbs_api

註釋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 regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a shortterm interest rate. The system has been used for studying the causes of the early millennium economic slowdown based on traditional identication with zero and long-run restrictions and using sign restrictions. We find that previously drawn conclusions are questionable in our framework.