The spectral representation of Markov switching ARMA models

DOI10.1016/J.ECONLET.2011.03.003zbMATH Open1217.62137OpenAlexW2065564750MaRDI QIDQ553863FDOQ553863

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

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

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)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• On Markov-switching periodicARMAmodels
• Spectral density of Markov-switching VARMA models
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Multivariate Markov-switching ARMA processes with regularly varying noise
• 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

This page was built for publication: The spectral representation of Markov switching ARMA models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q553863)