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Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients

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  • Yang, Minxian

Abstract

Some 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 Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 16 (2000)
Issue (Month): 01 (February)
Pages: 23-43

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Handle: RePEc:cup:etheor:v:16:y:2000:i:01:p:23-43_16

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Cited by:
  1. BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, . "Theory and inference for a Markov switching Garch model," CORE Discussion Papers RP -2303, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Christian Francq & Jean-Michel Zakoïan, 2000. "Stationarity of Multivariate Markov-Switching ARMA Models," Working Papers 2000-32, Centre de Recherche en Economie et Statistique.
  3. Haider, Adnan & Din, Musleh ud & Ghani, Ejaz, 2011. "Consequences of Political Instability, Governance and Bureaucratic Corruption on Inflation and Growth: The Case of Pakistan," MPRA Paper 35584, University Library of Munich, Germany.

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