Goodness-of-fit tests for Markov Switching VAR models using spectral analysis (Q2123263)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Goodness-of-fit tests for Markov Switching VAR models using spectral analysis |
scientific article |
Statements
Goodness-of-fit tests for Markov Switching VAR models using spectral analysis (English)
0 references
8 April 2022
0 references
Markov switching
0 references
VAR model
0 references
spectral density
0 references
VARMA representation
0 references
goodness-of-fit test
0 references
model selection
0 references
0 references
0 references
0 references
0 references
0 references
0 references
