Spectral representation and autocovariance structure of Markov switching DSGE models

DOI10.1080/03610926.2018.1563184OpenAlexW2913921051WikidataQ128530303 ScholiaQ128530303MaRDI QIDQ5077377

Maddalena Cavicchioli

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1563184

zbMATH Keywords

Markov chainsstate-space modelsspectral density functionchanges in regimeautocovariance structuremultivariate DSGE

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics (62-XX) Markov processes: estimation; hidden Markov models (62M05)

Related Items (1)

Generalised cepstral models for the spectrum of vector time series

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