Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
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Publication:2123263
DOI10.1016/J.JSPI.2021.12.008OpenAlexW4200582708MaRDI QIDQ2123263FDOQ2123263
Authors: Maddalena Cavicchioli 
Publication date: 8 April 2022
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2021.12.008
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Cited In (5)
- Local Whittle estimation of high-dimensional long-run variance and precision matrices
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- Spectral representation and autocovariance structure of Markov switching DSGE models
- Spectral analysis for GARCH processes through a bilinear representation
- Generalized autocovariance matrices for multivariate time series
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