Autocovariance and Linear Transformations of Markov Switching VARMA Processes

Maddalena Cavicchioli ()
Additional contact information
Maddalena Cavicchioli: University of Modena and Reggio Emilia

Central European Journal of Economic Modelling and Econometrics, 2014, vol. 6, issue 4, 275-289

Abstract: 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 allows us to obtain sharper bounds for p* and q* with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states.

Keywords: time series; multivariate ARMA; state-space models; Markov chains; changes in regime; autocovariance; linear representations (search for similar items in EconPapers)
JEL-codes: C01 C32 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.cejeme.eu/publishedarticles/2014-41-24-635550504616093750-1290.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:6:y:2014:i:4:p:275-289

Access Statistics for this article

More articles in Central European Journal of Economic Modelling and Econometrics from Central European Journal of Economic Modelling and Econometrics
Bibliographic data for series maintained by Damian Jelito ().