Markov-Switching Vector Autoregressions
Hans-Martin Krolzig
Broschiertes Buch

Markov-Switching Vector Autoregressions

Modelling, Statistical Inference, and Application to Business Cycle Analysis

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This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive proce...