OLS estimation of Markov switching VAR models: asymptotics and application to energy use

DOI10.1007/s10182-020-00383-4zbMath1480.62168OpenAlexW3093676558MaRDI QIDQ2058550

Maddalena Cavicchioli

Publication date: 9 December 2021

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-020-00383-4

zbMATH Keywords

economic growthasymptotic covariance matrixOLS estimatorenergy useMarkov switching VAR model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Economic time series analysis (91B84) Markov processes: hypothesis testing (62M02)

Related Items (1)

Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends

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