Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis - Brossura

Krolzig, Hans-Martin

Brossura

ISBN 10: 3642516858 ISBN 13: 9783642516856

Casa editrice: Springer, 2014

Riassunto

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.

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 2014
• Lingua: Inglese
• ISBN 10: 3642516858
• ISBN 13: 9783642516856
• Rilegatura: Paperback
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile