Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients
AbstractSome statistical properties of a vector autoregressive process with Markov-switching coefficients are considered. Sufficient conditions for this nonlinear process to be covariance stationary are given. The second moments of the process are derived under the conditions. The autocovariance matrix decays at exponential rate, permitting the application of the law of large numbers. Under the stationarity conditions, although sharing the mean-reverting property with conventional linear stationary processes, the process offers richer short-run dynamics such as conditional heteroskedasticity, asymmetric responses, and occasional nonstationary behavior.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 16 (2000)
Issue (Month): 01 (February)
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