Trend and cycle decomposition of Markov switching (co)integrated time series

DOI10.1007/s10260-023-00710-4OpenAlexW4380790159MaRDI QIDQ6122756

Maddalena Cavicchioli

Publication date: 1 March 2024

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-023-00710-4

zbMATH Keywords

Beveridge-Nelson decompositionstate space representationimpulse-response functionMarkov switching (co)integrated processestrend and cyclical component

Mathematics Subject Classification ID

Statistics (62-XX)

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