Spectral density of Markov-switching VARMA models

DOI10.1016/J.ECONLET.2013.07.022MaRDI QIDQ2451399zbMATH OpenOpenAlexFDO

Authors Maddalena Cavicchioli

Publication date 3 June 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.07.022

zbMATH Keywords

Markov-switching VARMAspectral densitystable VARMA representation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A general autoregressive model with Markov switching: estimation and consistency
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of time series subject to changes in regime
• Autocovariance structure of Markov regime switching models and model selection
• scientific article; zbMATH DE number 2136426 (Why is no real title available?)
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• Stationarity of multivariate Markov-switching ARMA models
• The spectral representation of Markov switching ARMA models

Cited in

(20)

• Skewness and kurtosis of multivariate Markov-switching processes
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Generalised cepstral models for the spectrum of vector time series
• Mixed-frequency VAR models with Markov-switching dynamics
• Spectral analysis of MAR models
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Marginal distribution of Markov-switching <scp>VAR</scp> processes
• Higher order moments of Markov switching VARMA models
• The spectral representation of Markov switching ARMA models
• Spectral analysis for GARCH processes through a bilinear representation
• 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
• A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
• Generalized autocovariance matrices for multivariate time series
• Spectral representation of Markov-switching bilinear processes
• On the Markov-switching autoregressive stochastic volatility processes
• Vector moving average models: a review
• Spectra of bivariate \(\mathrm{VAR}(p)\) models

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