HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS

DOI10.1017/S0266466616000438zbMath1396.62197OpenAlexW2540140152MaRDI QIDQ5371157

Maddalena Cavicchioli

Publication date: 25 October 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466616000438

zbMATH Keywords

Markov switchinghigher-order momentsVARMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (12)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ On mixture autoregressive conditional heteroskedasticity ⋮ Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Moments, shocks and spillovers in Markov-switching VAR models ⋮ 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 ⋮ Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models

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