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Markov-Switching Vector Autoregressions - Hans-Martin Krolzig - Bog

- Modelling, Statistical Inference, and Application to Business Cycle Analysis

Bag om Markov-Switching Vector Autoregressions

This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540630739
  • Indbinding:
  • Paperback
  • Sideantal:
  • 357
  • Udgivet:
  • 26. august 1997
  • Størrelse:
  • 210x297x20 mm.
  • Vægt:
  • 918 g.
  • 8-11 hverdage.
  • 16. januar 2025

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Beskrivelse af Markov-Switching Vector Autoregressions

This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model.

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