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Markov-Switching Vector Autoregressions
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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
Markov-Switching Vector Autoregressive Models
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This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes
Structural Vector Autoregressions with Markov Switching
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In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covari
Some Properties of Vector Autoregressive Processes with Markov-Switching Coefficients
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