http://worldcat.org/entity/work/id/628887

Markov-switching vector autoregressions : modelling, statistical inference, and application to business cycle analysis

The book presents a systematic and operational approach to econometric modelling of time series subject to shifts in regime. The first part gives a comprehensive mathematical and statistical analysis of the Markov-switching vector autoregressive model. It deals with the theoretical properties and the statistical tools for empirical research. The discussed theoretical and practical developments will be of use to econometricians intending to construct and use models of dynamic, multivariate, possibly non-stationary systems. The second part includes an intensive study of international business cycles. Particular attention is paid to the case of Germany. It is designed so that it can be used by researchers who are interested in applying the methods without going into too much detail about the underlying theory.

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