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The spectral representation of Markov switching ARMA models

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  • Pataracchia, Beatrice

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.

Suggested Citation

  • Pataracchia, Beatrice, 2011. "The spectral representation of Markov switching ARMA models," Economics Letters, Elsevier, vol. 112(1), pages 11-15, July.
    • Handle: RePEc:eee:ecolet:v:112:y:2011:i:1:p:11-15
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    Cited by:

    1. Beatrice Pataracchia, 2008. "Design Limits in Regime-Switching Cases," Department of Economics University of Siena 529, Department of Economics, University of Siena.
    2. Chikashi Tsuji, 2014. "Did the Stock Market Regime Change after the Inauguration of the New Cabinet in Japan?," Business and Management Horizons, Macrothink Institute, vol. 2(1), pages 98-108, June.
    3. Cavicchioli, Maddalena, 2013. "Spectral density of Markov-switching VARMA models," Economics Letters, Elsevier, vol. 121(2), pages 218-220.
    4. Elie Bouri & Imad Kachacha & Donald Lien & David Roubaud, 2017. "Short- and long-run causality across the implied volatility of crude oil and agricultural commodities," Economics Bulletin, AccessEcon, vol. 37(2).
    5. Maddalena Cavicchioli, 2021. "OLS Estimation of Markov switching VAR models: asymptotics and application to energy use," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(3), pages 431-449, September.

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    More about this item

    Keywords

    Multivariate ARMA models Regime switching models Markov switching models Frequency domain;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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