文章基本信息

标题：Regime-switching global vector autoregressive models
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作者：Michael Binder ; Marco Gross
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：The purpose of the paper is to develop a Regime-Switching Global Vector Au- toregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are conditional upon a regime-constellation across countries. Coupling the RS and the GVAR methodology improves out-of-sample forecast accuracy signicantly in an ap- plication to real GDP, price in ation, and stock prices.
关键词：Global macroeconometric modeling; nonlinear modeling; regime;switching; forecasting and simulation