An algorithm for generalized impulse-response functions in Markov-switching structural VAR - Centre d'Étude des Politiques Économiques Accéder directement au contenu
Article Dans Une Revue Economics Letters Année : 2012

An algorithm for generalized impulse-response functions in Markov-switching structural VAR

F. Karamé

Résumé

We transpose the Generalized Impulse-Response Function (GIRF) developed by. Koop etal. (1996) to Markov-Switching structural VARs. As the algorithm displays an exponentially increasing complexity as regards the prediction horizon, we use the collapsing technique to easily obtain simulated trajectories (shocked or not), even for the most general representations. Our approach encompasses the existing IRFs proposed in the literature and is illustrated with an applied example on gross job flows. © 2012 Elsevier B.V.
Fichier non déposé

Dates et versions

hal-02877971 , version 1 (22-06-2020)

Identifiants

Citer

F. Karamé. An algorithm for generalized impulse-response functions in Markov-switching structural VAR. Economics Letters, 2012, 117 (1), pp.230--234. ⟨10.1016/j.econlet.2012.04.089⟩. ⟨hal-02877971⟩

Collections

UNIV-EVRY EPEE
21 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More