DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS

DOI10.1002/jtsa.12057zbMath1301.62083OpenAlexW3125541489MaRDI QIDQ2933197

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

Markov chainsstate-space modelssecond-order stationary time seriesVAR modelsregime numberchanges in regimeVMA models

Mathematics Subject Classification ID

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

Related Items (17)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ Statistical inference for mixture GARCH models with financial application ⋮ On mixture autoregressive conditional heteroskedasticity ⋮ Weak VARMA representations of regime-switching state-space models ⋮ Skewness and kurtosis of multivariate Markov-switching processes ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Impulse response function analysis for Markov switching VAR models ⋮ Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ Testing for misspecification in the short-run component of GARCH-type models ⋮ HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS ⋮ Third and fourth moments of vector autoregressions with regime switching ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use ⋮ Statistical Analysis Of Mixture Vector Autoregressive Models ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models

Cites Work

• ARMA model identification
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Penalized estimate of the number of states in Gaussian linear AR with Markov regime
• 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
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• Stationarity of multivariate Markov-switching ARMA models

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