Spectral density of Markov-switching VARMA models

Maddalena Cavicchioli

Economics Letters, 2013, vol. 121, issue 2, 218-220

Abstract: 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).

Keywords: Markov-switching VARMA; Spectral density; Stable VARMA representation (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176513003558
Full text for ScienceDirect subscribers only

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:eee:ecolet:v:121:y:2013:i:2:p:218-220

DOI: 10.1016/j.econlet.2013.07.022

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().