Title of article :
Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks
Author/Authors :
Herwartz، نويسنده , , Helmut and Lütkepohl، نويسنده , , Helmut، نويسنده ,
Abstract :
In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a short-term interest rate. The system has been used for studying the causes of the early millennium economic slowdown based on traditional identification with zero and long-run restrictions and using sign restrictions. We find that previously drawn conclusions are questionable in our framework.
Keywords :
Vector Autoregressive Model , Markov process , EM algorithm , Impulse responses
Journal title :
Astroparticle Physics