The spectral representation of Markov switching ARMA models

Beatrice Pataracchia

Economics Letters, 2011, vol. 112, issue 1, 11-15

Abstract: In this paper we propose a method to derive the spectral density function of Markov switching ARMA models. We apply the Riesz-Fischer theorem which defines the spectral representation as the Fourier transform of the autocovariance functions.

Keywords: Multivariate; ARMA; models; Regime; switching; models; Markov; switching; models; Frequency; domain (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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