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Markov-Switching Vector Autoregressions
Hans-Martin Krolzig
€ 114.32
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Description for Markov-Switching Vector Autoregressions
Paperback. A discussion of Markov-switching vector autoregressions. It covers issues such as the state-space representation, forecasting MS-VAR processes, multi-move Gibbs sampling, and co-integration analysis of VAR models with Markovian shifts in regime. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 371 pages, 35 black & white illustrations, 57 black & white tables, biography. BIC Classification: KC; KJQ; PBK; PBT; PBW. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 210 x 297 x 20. Weight in Grams: 918.
This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business ... Read more
This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business ... Read more
Product Details
Format
Paperback
Publication date
1997
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
371
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
357
Place of Publication
Berlin, Germany
ISBN
9783540630739
SKU
V9783540630739
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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