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
相关论文
共 50 条
  • [41] ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV-SWITCHING VAR(CH) MODELS
    Cavicchioli, Maddalena
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2014, 35 (06) : 624 - 639
  • [42] Closed-form likelihood function of Markov-switching models
    Yang, MX
    [J]. ECONOMICS LETTERS, 2001, 70 (03) : 319 - 326
  • [43] Specification testing in Markov-switching time-series models
    Hamilton, JD
    [J]. JOURNAL OF ECONOMETRICS, 1996, 70 (01) : 127 - 157
  • [44] Autoregressive Moving Average Infinite Hidden Markov-Switching Models
    Bauwens, Luc
    Carpantier, Jean-Francois
    Dufays, Arnaud
    [J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2017, 35 (02) : 162 - 182
  • [45] Robust and efficient specification tests in Markov-switching autoregressive models
    Masaru Chiba
    [J]. Statistical Inference for Stochastic Processes, 2023, 26 : 99 - 137
  • [46] Why use Markov-switching models in exchange rate prediction?
    Lee, Hsiu-Yun
    Chen, Show-Lin
    [J]. ECONOMIC MODELLING, 2006, 23 (04) : 662 - 668
  • [47] MARKOV-SWITCHING STATE SPACE MODELS FOR UNCOVERING MUSICAL INTERPRETATION
    McDonald, Daniel J.
    McBride, Michael
    Gu, Yupeng
    Raphael, Christopher
    [J]. ANNALS OF APPLIED STATISTICS, 2021, 15 (03): : 1147 - 1170
  • [48] Markov-switching threshold stochastic volatility models with regime changes
    Ghezal, Ahmed
    Balegh, Mohamed
    Zemmouri, Imane
    [J]. AIMS MATHEMATICS, 2024, 9 (02): : 3895 - 3910
  • [49] Markov-switching decision trees
    Adam, Timo
    Oetting, Marius
    Michels, Rouven
    [J]. ASTA-ADVANCES IN STATISTICAL ANALYSIS, 2024, 108 (02) : 461 - 476
  • [50] Some theoretical results on Markov-switching autoregressive models with gamma innovations
    Ailliot, Pierre
    [J]. COMPTES RENDUS MATHEMATIQUE, 2006, 343 (04) : 271 - 274
12345