{"product_id":"markov-switching-vector-autoregressions-hans-martin-krolzig-9783540630739","title":"Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis","description":"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 It con- sists mainly of unpublished material which has been presented during the last years at conferences and in seminars.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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Hans-Martin Krolzig\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3540630732\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783540630739\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 08\/26\/1997\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 357\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 2.05lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 11.70h x 8.30w x 0.90d","brand":"Hans-Martin Krolzig","offers":[{"title":"Paperback","offer_id":48659544473855,"sku":"9783540630739","price":99.99,"currency_code":"USD","in_stock":true}],"url":"https:\/\/www.whiterainbookhouse.com\/products\/markov-switching-vector-autoregressions-hans-martin-krolzig-9783540630739","provider":"WR Book House","version":"1.0","type":"link"}