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Econometric Modelling of Markov-Switching Vector ...

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 .. 2. 7 Markov-Switching Vector autoregressions .. 3. Types of regime-switching models .. 3. Markov-Switching Vector autoregressive processes .. 4. 8 Model formulation .. 9. 9 Examples .. 9. Hamilton's model of the US business cycle .. 9. An MS-VAR model of international business cycles .. 12. A Markov-Switching Vector equilibrium correction model .. 14. 10 Notes and remarks .. 19. References .. 19. A Glossary of MSVAR functions .. 21. 1 Introduction MSVAR ( Markov-Switching Vector Autoregressions) is a package designed for the Econometric Modelling of uni- variate and multiple time series subject to shifts in regime.

the process might be time-invariant conditional on an unobservable regime variable s t which indicates the regime prevailing at time t.Let M denote the number of feasible regimes, so that s t 2f 1 ... In Markov-switching vector autoregressive (MS-VAR) models – the subject of this study – it is assumed that the regime s t

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