The spectral representation of Markov switching ARMA models

DOI10.1016/J.ECONLET.2011.03.003MaRDI QIDQ553863zbMATH OpenOpenAlexFDO

Authors Beatrice Pataracchia

Publication date 28 July 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://repec.deps.unisi.it/quaderni/528.pdf

zbMATH Keywords

frequency domainregime switching modelsMarkov switching modelsmultivariate ARMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Spectral density of Markov-switching VARMA models
• Spectral representation and autocovariance structure of Markov switching DSGE models
• On Markov-switching periodicARMAmodels
• Spectral analysis of MAR models
• Stationnarité des modèles ARMA à changement de régime markovien

Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 2136426 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Stationarity of multivariate Markov-switching ARMA models

Cited in

(14)

• Impulse response function analysis for Markov switching VAR models
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Spectral analysis of MAR models
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Higher order moments of Markov switching VARMA models
• On Markov-switching periodicARMAmodels
• scientific article; zbMATH DE number 839299 (Why is no real title available?)
• Multivariate Markov-switching ARMA processes with regularly varying noise
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Spectral density of Markov-switching VARMA models
• Matrix representations of spectral coefficients of randomly sampled ARMA models
• Generalised cepstral models for the spectrum of vector time series
• ON THE SPECTRAL DENSITY MATRIX OF A PERIODIC ARMA PROCESS
• Generalized autocovariance matrices for multivariate time series

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