Lanne, Lutkepohl and Maciejowska (2010)
Posted: Sat Feb 09, 2013 9:03 amDear Tom and RATS users,
I am wondering how to exploit properties of Markov switching models to identify structural shocks in SVAR models as proposed in Lanne, Lutkepohl and Maciejowska 2010, Journal of Economic Dynamics & Control, "Structural vector autoregressions with Markov switching".
Thank you in advance.
I am wondering how to exploit properties of Markov switching models to identify structural shocks in SVAR models as proposed in Lanne, Lutkepohl and Maciejowska 2010, Journal of Economic Dynamics & Control, "Structural vector autoregressions with Markov switching".
Thank you in advance.