Spectral density of Markov-switching VARMA models

We review the main results of Francq and Zakoïan (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 Zakoïan (2001).

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Year of publication:	2013
Authors:	Cavicchioli, Maddalena
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 2, p. 218-220
Publisher:	Elsevier
Subject:	Markov-switching VARMA \| Spectral density \| Stable VARMA representation

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Type of publication:	Article
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041786