Lanne, Lutkepohl and Maciejowska (2010)

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Dear 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.