Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis - Lecture Notes in Economics and Mathematical Systems - Hans-Martin Krolzig - Books - Springer-Verlag Berlin and Heidelberg Gm - 9783540630739 - August 26, 1997
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Hans-Martin Krolzig
Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis - Lecture Notes in Economics and Mathematical Systems

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This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. 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.

371 pages, 35 black & white illustrations, 57 black & white tables, biography

Media Books     Paperback Book   (Book with soft cover and glued back)
Released August 26, 1997
ISBN13 9783540630739
Publishers Springer-Verlag Berlin and Heidelberg Gm
Pages 357
Dimensions 297 × 210 × 20 mm   ·   929 g
Language French  

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