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Markov-Switching Vector Autoregressions

Modelling, Statistical Inference, and Application to Business Cycle Analysis

Hans-Martin Krolzig (Autor)

Buch | Softcover

XIV, 357 Seiten

1997
Springer Berlin (Verlag)
978-3-540-63073-9 (ISBN)

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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. 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 It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars.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.

Prologue.- 1 The Markov-Switching Vector Autoregressive Model.- 2 The State-Space Representation.- 3 VARMA-Representation of MSI-VAR and MSM-VAR Processes.- 4 Forecasting MS-VAR Processes.- 5 The BLHK Filter.- 6 Maximum Likelihood Estimation.- 7 Model Selection and Model Checking.- 8 Multi-Move Gibbs Sampling.- 9 Comparative Analysis of Parameter Estimation in Particular MS-VAR Models.- 10 Extensions of the Basic MS-VAR Model.- 11 Markov-Switching Models of the German Business Cycle.- 12 Markov-Switching Models of Global and International Business Cycles.- 13 Cointegration Analysis of VAR Models with Markovian Shifts in Regime.- Epilogue.- References.- Tables.- Figures.- List of Notation.

Erscheint lt. Verlag	26.8.1997
Reihe/Serie	Lecture Notes in Economics and Mathematical Systems
Zusatzinfo	XIV, 357 p. 35 illus.
Verlagsort	Berlin
Sprache	englisch
Maße	210 x 297 mm
Gewicht	556 g
Themenwelt	Mathematik / Informatik ► Mathematik
Themenwelt	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	Business Cycle • Calculus • Econometrics • emperical business cycle • Forecasting • HC/Wirtschaft/Volkswirtschaft • Integration • Konjunktur • Konjunkturforschung • Konjunkturtheorie • Markov-Prozesse • Modeling • Ökonometrie • Regression • Regression (Statistik) • Research • Statistical Analysis • Statistical Inference • Statistics • Statistik • Time Series Analysis • Value at risk • Zeitreihenanalyse
ISBN-10	3-540-63073-2 / 3540630732
ISBN-13	978-3-540-63073-9 / 9783540630739
Zustand	Neuware