Goodness-of-fit tests for Markov Switching VAR models using spectral analysis (Q2123263)
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scientific article; zbMATH DE number 7505543
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| English | Goodness-of-fit tests for Markov Switching VAR models using spectral analysis |
scientific article; zbMATH DE number 7505543 |
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Goodness-of-fit tests for Markov Switching VAR models using spectral analysis (English)
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8 April 2022
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Markov switching
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VAR model
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spectral density
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VARMA representation
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goodness-of-fit test
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model selection
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