Authors
Michael Ehrmann, Martin Ellison, Natacha Valla
Publication date
2003/3/1
Journal
Economics Letters
Volume
78
Issue
3
Pages
295-299
Publisher
North-Holland
Description
This paper combines both Markov-switching and structural identifying restrictions in a vector autoregression model. The resulting regime-dependent impulse response functions show how the reaction of variables in the model to fundamental disturbances differs across regimes.
Total citations
Scholar articles
M Ehrmann, M Ellison, N Valla - Economics Letters, 2003