The spectral representation of Markov switching ARMA models

DOI10.1016/j.econlet.2011.03.003zbMath1217.62137OpenAlexW2065564750MaRDI QIDQ553863

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 domainmultivariate ARMA modelsMarkov switching modelsregime switching models

Mathematics Subject Classification ID

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

Related Items (7)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Impulse response function analysis for Markov switching VAR models ⋮ HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS ⋮ Spectral density of Markov-switching VARMA models ⋮ Generalised cepstral models for the spectrum of vector time series ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Stationarity of multivariate Markov-switching ARMA models

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