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Markov Switching Vector Autoregressions
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Book Synopsis Markov-Switching Vector Autoregressions by : Hans-Martin Krolzig
Download or read book Markov-Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
Book Synopsis Structural Vector Autoregressions with Markov Switching by : Helmut Herwartz
Download or read book Structural Vector Autoregressions with Markov Switching written by Helmut Herwartz and published by . This book was released on 2011 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a shortterm interest rate. The system has been used for studying the causes of the early millennium economic slowdown based on traditional identication with zero and long-run restrictions and using sign restrictions. We find that previously drawn conclusions are questionable in our framework.
Book Synopsis Structural Vector Autoregressions with Markov Switching by : Markku Lanne
Download or read book Structural Vector Autoregressions with Markov Switching written by Markku Lanne and published by . This book was released on 2009 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Predicting Markov-switching Vector Autoregressive Processes by : Hans-Martin Krolzig
Download or read book Predicting Markov-switching Vector Autoregressive Processes written by Hans-Martin Krolzig and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconometrics and Time Series Analysis by : Steven Durlauf
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Book Synopsis Applying Flexible Parameter Restrictions in Markov-switching Vector Autoregression Models by :
Download or read book Applying Flexible Parameter Restrictions in Markov-switching Vector Autoregression Models written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-switching Structural Vector Autoregressions by :
Download or read book Markov-switching Structural Vector Autoregressions written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector autoregression (SVAR) model. The theorem applies to models with both linear and some nonlinear restrictions on the structural parameters. We also derive efficient MCMC algorithms to implement sign and long-run restrictions in Markov-switching SVARs. Using our methods, four well-known identification schemes are used to study whether monetary policy has changed in the euro area since the introduction of the European Monetary Union. We find that models restricted to only time-varying shock variances dominate the other models. We find a persistent post-1993 regime that is associated with low volatility of shocks to output, prices, and interest rates. Finally, the output effects of monetary policy shocks are small and uncertain across regimes and models. These results are robust to the four identification schemes studied in this paper."--Federal Reserve Bank of Atlanta web site.
Book Synopsis Duration Dependent Markov-Switching Vector Autoregression by : Matteo M. Pelagatti
Download or read book Duration Dependent Markov-Switching Vector Autoregression written by Matteo M. Pelagatti and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long the chain has been in a state. In the present paper we analyze the second order properties of such models and propose a Markov chain Monte Carlo algorithm to carry out Bayesian inference on the model's unknowns. Furthermore, a freeware software written by the author for the analysis of time series by means of DDMS-VAR models is illustrated. The methodology and the software are applied to the analysis of the U.S. business cycle.
Book Synopsis Markov-Switching Structural Vector Autoregressions by : Juan Francisco Rubio-Ramirez
Download or read book Markov-Switching Structural Vector Autoregressions written by Juan Francisco Rubio-Ramirez and published by . This book was released on 2014 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector autoregression (SVAR) model. The theorem applies to models with both linear and some nonlinear restrictions on the structural parameters. We also derive efficient MCMC algorithms to implement sign and long-run restrictions in Markov-switching SVARs. Using our methods, four well-known identification schemes are used to study whether monetary policy has changed in the euro area since the introduction of the European Monetary Union. We find that models restricted to only time-varying shock variances dominate the other models. We find a persistent post-1993 regime that is associated with low volatility of shocks to output, prices, and interest rates. Finally, the output effects of monetary policy shocks are small and uncertain across regimes and models. These results are robust to the four identification schemes studied in this paper.
Book Synopsis Some Properties of Vector Autoregressive Processes with Markov-Switching Coefficients by : Minxian Yang
Download or read book Some Properties of Vector Autoregressive Processes with Markov-Switching Coefficients written by Minxian Yang and published by . This book was released on 1997 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-Switching Vector Autoregressive Models by : Matthieu Droumaguet
Download or read book Markov-Switching Vector Autoregressive Models written by Matthieu Droumaguet and published by . This book was released on 2012 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes generate convenient nonlinear dynamics to econometric models, allowing for structural changes similar to the exogenous economic events occurring in reality. The first paper sets up a Monte Carlo experiment to explore the finite-sample properties of the estimates of vector autoregressive models subject to switches in regime governed by a hidden Markov chain. The main finding of this article is that the accuracy with which regimes are determined by the Expectation Maximixation algorithm shows improvement when the dimension of the simulated series increases. However this gain comes at the cost of higher sample size requirements for models with more variables. The second paper advocates the use of Bayesian impulse responses for a Markovswitching Vector Autoregressive model. These responses are sensitive to the Markovswitching properties of the model and, based on densities, allow statistical inference to be conducted. Upon the premise of structural changes occurring on oil markets, the empirical results of Kilan (2009) are reinvestigated. The effects of the structural shocks are characterized over four estimated regimes. Over time, the regime dynamics are evolving into more competitive oil markets, with the collapse of the OPEC. Finally, the third paper proposes a method of testing restrictions for Granger noncausality in mean, variance and distribution in the framework of Markov-switching VAR models. Due to the nonlinearity of the restrictions derived by Warne (2000), classical tests have limited use. Bayesian inference consists of a novel Block Metropolis-Hastings sampling algorithm for the estimation of the restricted models, and of standard methods of computing posterior odds ratios. The analysis may be applied to financial and macroeconomic time series with changes of parameter values over time and heteroskedasticity.
Book Synopsis Markov Regime Switching Vector Autoregressions by : Glen R. Harris
Download or read book Markov Regime Switching Vector Autoregressions written by Glen R. Harris and published by . This book was released on 2001 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Structural Vector Autoregressive Analysis by : Lutz Kilian
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Book Synopsis Regime-dependent Impulse Response Functions in a Markov-switching Vector Autoregression Model by : Michael Ehrmann
Download or read book Regime-dependent Impulse Response Functions in a Markov-switching Vector Autoregression Model written by Michael Ehrmann and published by . This book was released on 2001 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä: Tilasidonnaiset impulssivasteet markovilaisessa kahden regiimin autoregressiomallissa.
Book Synopsis Structural Vector Autoregressions with Markov Switching by : Aleksei Netšunajev
Download or read book Structural Vector Autoregressions with Markov Switching written by Aleksei Netšunajev and published by . This book was released on 2013 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural vector autoregressions are of great importance in applied macroeconometric work. The main di culty associated with structural analysis is to identify unique shocks of interest. In a conventional approach this is done via zero or sign restrictions. Heteroskedasticity is proposed for use in identi cation. Under certain assumptions when volatility of shocks changes over time, unique shocks can be obtained. Then formal testing of the restrictions and impulse response analysis can be performed. In this thesis I show how identi cation via heteroskedasticity can be used in di erent contexts. In the rst chapter I analyze the dynamics of trade balances in response to macroeconomic shocks. I show that identifying restrictions, which are known in the literature, are rejected for two out of seven countries. Partially identi ed models fail to provide enough information to fully identify shocks. The second chapter, coauthored with my supervisor, demonstrates how one can bene t from identi cation via heteroskedasticity when sign restrictions are used. The approach is illustrated with a model of the crude oil market. It is shown that shocks identi ed via previously known sign restrictions are in line with the properties of the data. Use of tighter restrictions uncovers that the approach can be discriminative. The third chapter reconsiders the con icting results in the debate on the e ects of technology shocks on hours worked. Using six ways of identifying technology shocks, I nd that not all of them are supported by the data. There is no clear-cut evidence in favor of positive reaction of hours to technology shocks. However, it is plausible for real wage and disentangled investment-speci c and neutral technology shocks, even though conventional identi cation of the latter shocks is rejected.
Book Synopsis Determining the Number of Regimes in Markov Switching VAR and VMA Models by : Maddalena Cavicchioli
Download or read book Determining the Number of Regimes in Markov Switching VAR and VMA Models written by Maddalena Cavicchioli and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We give stable finite order VARMA(p*; q*) representations for M-state Markov switching second-order stationary time series whose autocovariances satisfy a certain matrix relation. The upper bounds for p* and q* are elementary functions of the dimension K of the process, the number M of regimes, the autoregressive and moving average orders of the initial model. If there is no cancellation, the bounds become equalities, and this solves the identification problem. Our class of time series include every M-state Markov switching multivariate moving average models and autoregressive models in which the regime variable is uncorrelated with the observable. Our results include, as particular cases, those obtained by Krolzig (1997), and improve the bounds given by Zhang and Stine (2001) and Francq and Zakoian (2001) for our classes of dynamic models. Data simulations and an application on foreign exchange rates complete the paper.
Book Synopsis A Markov Switching Factor-Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy by : Florian Huber
Download or read book A Markov Switching Factor-Augmented VAR Model for Analyzing US Business Cycles and Monetary Policy written by Florian Huber and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities are modelled as time-varying, depending on a broad set of indicators that influence business cycle movements. The model is used to investigate the relationship between business cycle phases and monetary policy. Our results indicate that the effects of monetary policy are stronger in recessions, whereas the responses are more muted in expansionary phases. Moreover, lagged prices serve as good predictors for business cycle transitions.
