Structural Vector Autoregressions with Markov Switching

By Markku Lanne, Helmut Lütkepohl, Katarzyna Maciejowska. 2010

229 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/dba01d38cffd1fc144bebaf8b675795834027652

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Gary Koop
2. Joshua C. C. Chan

In Economics and Econometrics

1. Joshua C. C. Chan
2. Gary Koop
3. Aleksei Netsunajev
4. H. Luetkepohl
5. Xuewen Yu
6. Dimitris Korobilis
7. Eric Eisenstat
8. David Gabauer

In Statistics and Probability

1. Gary Koop
2. H. Luetkepohl
3. Joshua C. C. Chan
4. Muhammad Shahbaz

Citations in the corpus

• DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS (2012, background): “Lanne et al. (2010) discuss a likelihood ratio (LR) test for these restrictions.”
• Large Order-Invariant Bayesian VARs with Stochastic Volatility (2021, background): “We refer readers to Rigobon (2003), Lanne, Lütkepohl, and Maciejowska (2010) and Lewis (2021) for a more detailed discussion of how identification can be achieved in structural VARs via heteroscedasticity.”