Cavicchioli, Maddalena - In: Central European Journal of Economic Modelling and … 6 (2014) 4, pp. 275-289
We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p*, q*) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This...
