Determining the number of regimes in Markov switching VAR and VMA models
DOI10.1002/JTSA.12057zbMATH Open1301.62083OpenAlexW3125541489MaRDI QIDQ2933197FDOQ2933197
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
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state-space modelsMarkov chainsVAR modelsregime numberchanges in regimesecond-order stationary time seriesVMA models
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)
Cites Work
- Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
- ARMA model identification
- ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
- Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
- Autocovariance structure of Markov regime switching models and model selection
- Determining the number of regimes in Markov switching VAR and VMA models
- Stationarity of multivariate Markov-switching ARMA models
- Penalized estimate of the number of states in Gaussian linear AR with Markov regime
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
- On mixture autoregressive conditional heteroskedasticity
- Weak VARMA representations of regime-switching state-space models
- Higher order moments of Markov switching VARMA models
- 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
- Skewness and kurtosis of multivariate Markov-switching processes
- Statistical analysis of mixture vector autoregressive models
- OLS estimation of Markov switching VAR models: asymptotics and application to energy use
- 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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