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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
Structural Vector Autoregressions with Markov Switching
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"This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector auto
Markov-Switching Structural Vector Autoregressions
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This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector autor
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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