Third and fourth moments of vector autoregressions with regime switching

Maddalena Cavicchioli

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 9, 4181-4194

Abstract: We derive matrix formulae in closed form for the unconditional third and fourth moments of a broad class of vector autoregressive time series with regime switching. First and second moments are well known. New measures of multivariate skewness and kurtosis are introduced and basic properties are investigated. The knowledge of series level, variation, co-movements, skewness, and kurtosis is useful to support model interpretation in real data application. Numerical examples complete the paper.

Date: 2017
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DOI: 10.1080/03610926.2015.1080840

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