Goodness-of-fit tests for Markov Switching VAR models using spectral analysis

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

zbMATH Keywords

model selectiongoodness-of-fit testspectral densityMarkov switchingVAR modelVARMA representation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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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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