Determining the number of regimes in Markov switching VAR and VMA models

DOI10.1002/JTSA.12057MaRDI QIDQ2933197zbMATH OpenOpenAlexFDO

Authors Maddalena Cavicchioli

Publication date 10 December 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2013/WP_DSE_cavicchioli_03_13.pdf

zbMATH Keywords

state-space modelsMarkov chainsVAR modelsregime numberchanges in regimesecond-order stationary time seriesVMA models

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• ARMA model identification
• Autocovariance structure of Markov regime switching models and model selection
• Determining the number of regimes in Markov switching VAR and VMA models
• Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• Penalized estimate of the number of states in Gaussian linear AR with Markov regime
• Stationarity of multivariate Markov-switching ARMA models

Cited in

(22)

• Impulse response function analysis for Markov switching VAR models
• Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic
• Autocovariance structure of Markov regime switching models and model selection
• On the existence of stationary threshold bilinear processes
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Statistical inference for mixture GARCH models with financial application
• Third and fourth moments of vector autoregressions with regime switching
• Weak VARMA representations of regime-switching state-space models
• On mixture autoregressive conditional heteroskedasticity
• Higher order moments of Markov switching VARMA models
• Skewness and kurtosis of multivariate Markov-switching processes
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
• Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Statistical analysis of mixture vector autoregressive models
• Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature
• Testing for misspecification in the short-run component of GARCH-type models
• Jointly determining the state dimension and lag order for Markov-switching vector autoregressive models
• Autoregressive processes with data-driven regime switching
• Trend and cycle decomposition of Markov switching (co)integrated time series
• Determining the number of regimes in Markov switching VAR and VMA models

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