Spectral density of Markov-switching VARMA models

被引：17
|
作者：
Cavicchioli, Maddalena [1 ]
机构：
[1] Univ Venice, Adv Sch Econ, I-30123 Venice, Italy
来源：
ECONOMICS LETTERS | 2013年 / 121卷 / 02期
关键词：
Markov-switching VARMA; Spectral density; Stable VARMA representation; ARMA MODELS; TIME-SERIES; STATIONARITY; REGIME;
D O I：
10.1016/j.econlet.2013.07.022
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We review the main results of Francq and Zakoian (2001) on stationarity and the autocovariance function for Markov-switching VARMA models. Then we derive a formula in closed form for the spectral density of such models, and describe some new properties of it. Our results improve those obtained by Pataracchia (2011) and complete some of Francq and Zakoian (2001). (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：218 / 220
页数：3
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