Markov-switching vector autoregressions
Subtitle: modelling, statistical inference, and application to business cycle analysis
By: Hans-Martin Krolzig.
Series: Lecture notes in economics and mathematical systems,; 454
Publisher: Springer
Published: 1997
Place of publication: Berlin; New York
Language: eng
Number of pages: 357
Subjects: Business cycles -- Mathematical models.; Social sciences -- Statistical methods.
Notes: Includes bibliographical references (p. [331]-346).
A revised version of the author's dissertation, accepted by the Economics Dept., Humboldt-University of Berlin, 1996.