Likelihood Ratio Test and Information Criteria for Markov Switching Var Models: An Application to the Italian Macroeconomy
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DOI: 10.1007/s40797-015-0015-6
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Cited by:
- Cavicchioli, Maddalena, 2024. "A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
- Cavicchioli, Maddalena, 2023. "Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
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More about this item
Keywords
Markov-switching VAR models; Filtering; Smoothing ; MLE; LR tests; Information criteria; Italian economy; C01; C32; C51;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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