Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models
Year of publication: |
2020
|
---|---|
Authors: | Cavicchioli, Maddalena |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 55.2020, 1, p. 61-86
|
Subject: | State-space models | Time-varying DSGE | Changes in regime | Markov-switching DSGE | VAR representations | Dynamisches Gleichgewicht | Dynamic equilibrium | VAR-Modell | VAR model | Schock | Shock | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Geldpolitik | Monetary policy | Theorie | Theory | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | DSGE-Modell | DSGE model |
-
Bekiros, Stelios D., (2015)
-
State space models with endogenous regime switching
Chang, Yoosoon, (2018)
-
Yano, Koiti, (2009)
- More ...
-
DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS
Cavicchioli, Maddalena, (2014)
-
ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV-SWITCHING VAR(CH) MODELS
Cavicchioli, Maddalena, (2014)
-
“Markov Switching Models for Volatility: Filtering, Approximation and Duality”
Billio, Monica, (2013)
- More ...