Econometric Modelling of Markov-Switching Vector ...

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Econometric Modelling of Markov-Switching Vector Autoregressions using MSVAR for Ox . B Y H ANS -M ARTIN K ROLZIG. Institute of Economics and Statistics and Nuffield College, Oxford. December 15, 1998. Contents 1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1. 2 Disclaimer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. 3 Ox version . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. 4 Installation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. 5 Main files . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2. 6 Data organization.

7 Markov-switching vector autoregressions 7.1 Types of regime-switching models Reduced form vector autoregressive (VAR) models have been become the dominant research strategy in empirical macroeconomics since Sims (1980) and implemented in programs …

  Model, Switching, Regime, Regime switching models