Lanne, Lutkepohl and Maciejowska (2010)

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g_defi
Posts: 12
Joined: Fri Nov 19, 2010 8:42 am

Lanne, Lutkepohl and Maciejowska (2010)

Unread post by g_defi »

Dear Tom and RATS users,

I am wondering how to exploit properties of Markov switching models to identify structural shocks in SVAR models as proposed in Lanne, Lutkepohl and Maciejowska 2010, Journal of Economic Dynamics & Control, "Structural vector autoregressions with Markov switching".

Thank you in advance.
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