Spectral density of Markov-switching VARMA models
DOI10.1016/J.ECONLET.2013.07.022zbMATH Open1288.62134OpenAlexW2033186740MaRDI QIDQ2451399FDOQ2451399
Authors: Maddalena Cavicchioli 
Publication date: 3 June 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2013.07.022
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Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Title not available (Why is that?)
- Analysis of time series subject to changes in regime
- A general autoregressive model with Markov switching: estimation and consistency
- Autocovariance structure of Markov regime switching models and model selection
- Stationarity of multivariate Markov-switching ARMA models
- On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
- The spectral representation of Markov switching ARMA models
Cited In (19)
- Impulse response function analysis for Markov switching VAR models
- Mixed-frequency VAR models with Markov-switching dynamics
- Spectral representation of Markov-switching bilinear processes
- On the Markov-switching autoregressive stochastic volatility processes
- A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
- The spectral representation of Markov switching ARMA models
- Spectral representation and autocovariance structure of Markov switching DSGE models
- Marginal distribution of Markov-switching <scp>VAR</scp> processes
- Spectral analysis of MAR models
- Spectra of bivariate \(\mathrm{VAR}(p)\) models
- Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
- Higher order moments of Markov switching VARMA models
- Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
- Skewness and kurtosis of multivariate Markov-switching processes
- OLS estimation of Markov switching VAR models: asymptotics and application to energy use
- Generalised cepstral models for the spectrum of vector time series
- Spectral analysis for GARCH processes through a bilinear representation
- Trend and cycle decomposition of Markov switching (co)integrated time series
- Generalized autocovariance matrices for multivariate time series
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