Data-Driven Models
Data-Driven Models
Empirical forecasting models · Sources
Primary papers, model variants, source notes, and review signals behind the Markov-switching VAR page.
First-party releases, central-bank materials, official statistical agencies, and institutional documents.
[S1] European Central Bank
Hubrich and Tetlow (2015) -- financial-stress MS-VAR at the ECB
Primary - European Central Bank
Reference material used for orientation; read primary and academic sources first when claims conflict.
[S2] Reference
Hamilton (1989) -- two-regime autoregression for US GNP, Hamilton filter derivation
Reference
[S3] Reference
Hamilton (1990) -- analysis of time series subject to regime changes
Reference
[S4] Reference
Krolzig (1997) -- multivariate MS-VAR taxonomy (MSI, MSM, MSH, MSIH, MSIAH)
Reference
[S5] Reference
Kim (1994) -- approximation for the Kim smoother in MS-VAR context
Reference
[S6] Reference
Chauvet and Hamilton (2006) -- monthly coincident recession indicator
Reference
[S7] Reference
Sims, Waggoner, and Zha (2008) -- Bayesian methods for MS-VARs
Reference
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