The Spectral Representation of Markov-Switching Arma Models

Beatrice Pataracchia

Department of Economics University of Siena from Department of Economics, University of Siena

Abstract: In this paper we propose a method to derive the spectral representation in the case of a particular class of nonlinear models: Markov Switching ARMA models. The procedure simply relies on the application of the Riesz-Fisher Theorem which describes the spectral density as the Fourier transform of the autocovariance functions. We explicitly show the analytical structure of the spectral density in the simple Markov Switching AR(1). Finally, a monetary policy application of a Markov Switching VAR(4) is presented

Keywords: Multivariate ARMA models; Regime-switching models; Markov switching models; Frequency Domain (search for similar items in EconPapers)
JEL-codes: C32 C44 E52 (search for similar items in EconPapers)
Date: 2008-03
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The spectral representation of Markov switching ARMA models (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:usi:wpaper:528

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