Markov-switching vector autoregressions : modelling, statistical inference, and application to business cycle analysis /

The book presents a systematic and operational approach to econometric modelling of time series subject to shifts in regime. The first part gives a comprehensive mathematical and statistical analysis of the Markov-switching vector autoregressive model. It deals with the theoretical properties and th...

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Bibliographic Details

Main Author:	Krolzig, Hans-Martin, 1964-
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	Berlin ; New York : Springer, [1997]
Series:	Lecture notes in economics and mathematical systems ; 454.
Subjects:	Business cycles > Mathematical models. Social sciences > Statistical methods. Markov-modellen. Tijdreeksen. Business cycles. Estatistica aplicada a economia. Markov, Processus de. Cycles économiques > Modèles mathématiques. Sciences sociales > Méthodes statistiques. Vektor-autoregressives Modell. Konjunkturzyklus. Electronic books.
Online Access:	Connect to the full text of this electronic book