An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR

Frédéric Karamé

No 12-04, Documents de recherche from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne

Abstract: We transpose the Generalized Impulse-Response Function (GIRF) developed by Koop et al. (1996) to Markov-Switching structural VARs. As the algorithm displays an exponentially increasing complexity as regards the prediction horizon, we use the collapsing technique to easily obtain simulated trajectories (shocked or not), even for the most general representations. Our approach encompasses the existing IRFs proposed in the literature and is illustrated with an applied example on gross job flows.

Keywords: structural VAR; Markov-switching regime; generalized impulse-response function (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2012
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (6)

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Journal Article: An algorithm for generalized impulse-response functions in Markov-switching structural VAR (2012)
Working Paper: An algorithm for generalized impulse-response functions in Markov-switching structural VAR (2012)
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