Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Statistical Analysis of Markov Switching DSGE Models
Maddalena Cavicchioli

Last modified: 2018-05-18


AbstractWe investigate statistical properties of Markov switching Dynamic StochasticGeneral Equilibrium (MS DSGE) models: L^2-structure, stationarity, autocovariancefunction, and spectral density.


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