Download or read book Markov Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars.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.

Download or read book Markov Regime Switching Vector Autoregressions written by Glen R. Harris and published by . This book was released on 2001 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Structural Vector Autoregressions with Markov Switching written by Helmut Herwartz and published by . This book was released on 2011 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a shortterm interest rate. The system has been used for studying the causes of the early millennium economic slowdown based on traditional identication with zero and long-run restrictions and using sign restrictions. We find that previously drawn conclusions are questionable in our framework.

Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Download or read book Regime Dependent Impulse Response Functions in a Markov Switching Vector Autoregression Model written by Michael Ehrmann and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we introduce identifying restrictions into a Markov-switching vector autoregression model. We define a separate set of impulse responses for each Markov regime to show how fundamental disturbances affect the variables in the model dependent on the regime. We go to illustrate the use of these regime-dependent impulse response functions in a model of the U.S. economy. The regimes we identify come close to the "old" and "new economy" regimes found in recent research. We provide evidence that oil price shocks are much less contractionary and inflationary than they used to be. We show furthermore that the decoupling of the US economic performance from oil price shocks cannot be explained by "good luck" alone, but that structural changes within the US economy have taken place.

Download or read book Markov Switching Vector Autoregressive Models written by Matthieu Droumaguet and published by . This book was released on 2012 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes generate convenient nonlinear dynamics to econometric models, allowing for structural changes similar to the exogenous economic events occurring in reality. The first paper sets up a Monte Carlo experiment to explore the finite-sample properties of the estimates of vector autoregressive models subject to switches in regime governed by a hidden Markov chain. The main finding of this article is that the accuracy with which regimes are determined by the Expectation Maximixation algorithm shows improvement when the dimension of the simulated series increases. However this gain comes at the cost of higher sample size requirements for models with more variables. The second paper advocates the use of Bayesian impulse responses for a Markovswitching Vector Autoregressive model. These responses are sensitive to the Markovswitching properties of the model and, based on densities, allow statistical inference to be conducted. Upon the premise of structural changes occurring on oil markets, the empirical results of Kilan (2009) are reinvestigated. The effects of the structural shocks are characterized over four estimated regimes. Over time, the regime dynamics are evolving into more competitive oil markets, with the collapse of the OPEC. Finally, the third paper proposes a method of testing restrictions for Granger noncausality in mean, variance and distribution in the framework of Markov-switching VAR models. Due to the nonlinearity of the restrictions derived by Warne (2000), classical tests have limited use. Bayesian inference consists of a novel Block Metropolis-Hastings sampling algorithm for the estimation of the restricted models, and of standard methods of computing posterior odds ratios. The analysis may be applied to financial and macroeconomic time series with changes of parameter values over time and heteroskedasticity.

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Download or read book State space Models with Regime Switching written by Chang-Jin Kim and published by Mit Press. This book was released on 1999 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.

Download or read book Determining the Number of Regimes in Markov Switching VAR and VMA Models written by Maddalena Cavicchioli and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We give stable finite order VARMA(p*; q*) representations for M-state Markov switching second-order stationary time series whose autocovariances satisfy a certain matrix relation. The upper bounds for p* and q* are elementary functions of the dimension K of the process, the number M of regimes, the autoregressive and moving average orders of the initial model. If there is no cancellation, the bounds become equalities, and this solves the identification problem. Our class of time series include every M-state Markov switching multivariate moving average models and autoregressive models in which the regime variable is uncorrelated with the observable. Our results include, as particular cases, those obtained by Krolzig (1997), and improve the bounds given by Zhang and Stine (2001) and Francq and Zakoian (2001) for our classes of dynamic models. Data simulations and an application on foreign exchange rates complete the paper.

Download or read book Some Properties of Vector Autoregressive Processes with Markov Switching Coefficients written by Minxian Yang and published by . This book was released on 1997 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Markov switching Structural Vector Autoregressions written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector autoregression (SVAR) model. The theorem applies to models with both linear and some nonlinear restrictions on the structural parameters. We also derive efficient MCMC algorithms to implement sign and long-run restrictions in Markov-switching SVARs. Using our methods, four well-known identification schemes are used to study whether monetary policy has changed in the euro area since the introduction of the European Monetary Union. We find that models restricted to only time-varying shock variances dominate the other models. We find a persistent post-1993 regime that is associated with low volatility of shocks to output, prices, and interest rates. Finally, the output effects of monetary policy shocks are small and uncertain across regimes and models. These results are robust to the four identification schemes studied in this paper."--Federal Reserve Bank of Atlanta web site.

Download or read book Markov Switching Structural Vector Autoregressions written by Juan Francisco Rubio-Ramirez and published by . This book was released on 2014 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new and easily implementable necessary and sufficient condition for the exact identification of a Markov-switching structural vector autoregression (SVAR) model. The theorem applies to models with both linear and some nonlinear restrictions on the structural parameters. We also derive efficient MCMC algorithms to implement sign and long-run restrictions in Markov-switching SVARs. Using our methods, four well-known identification schemes are used to study whether monetary policy has changed in the euro area since the introduction of the European Monetary Union. We find that models restricted to only time-varying shock variances dominate the other models. We find a persistent post-1993 regime that is associated with low volatility of shocks to output, prices, and interest rates. Finally, the output effects of monetary policy shocks are small and uncertain across regimes and models. These results are robust to the four identification schemes studied in this paper.

Download or read book Advances in Markov Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.

Download or read book A Markov Switching Regime Model of the Brazilian Business Cycle written by Otavio Ribeiro de Medeiros and published by . This book was released on 2007 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies have shown that linear models are incapable of capturing business cycle dynamics with accuracy. This has brought interest in non-linear models such as the Markov switching (MS) regime technique, which can distinguish business cycle recession and expansion phases, and is sufficiently flexible to allow different relationships to apply over these phases. This technique can be used to simultaneously estimate the data generating process of real GDP growth and classify each observation into one of two regimes (i.e. low-growth and high-growth regimes). In this study, we investigate the dynamics of the Brazilian business cycle using a Markov regime switching vector autoregressive model (MS-VAR). The study was developed using time-variable transition probabilities (TVTP) and for comparison and validation, fixed transition probabilities (FTP) between regimes. In order to capture cyclical fluctuations of the Brazilian GDP, we use the yield spread as a leading indicator. Most of the results obtained with the MS-VAR-TVTP are according to the expected. We show that the model is adequate to predict short-term cyclical fluctuations in the Brazilian economy. We also estimate an MS-VAR model with FTP in order to validate the TVTP model. We confirm the relevance of the yield spread in the estimation of the model parameters and the transition probabilities.

Download or read book Structural Vector Autoregressions with Markov Switching written by Markku Lanne and published by . This book was released on 2009 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Predicting Markov switching Vector Autoregressive Processes written by Hans-Martin Krolzig and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applying Flexible Parameter Restrictions in Markov switching Vector Autoregression Models written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: