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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.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 112 (2011)
Issue (Month): 1 (July)
Pages: 11-15

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Handle: RePEc:eee:ecolet:v:112:y:2011:i:1:p:11-15

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Web page: http://www.elsevier.com/locate/ecolet

Related research

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

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References

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  5. Brock, William A. & Durlauf, Steven N. & Rondina, Giacomo, 2013. "Design limits and dynamic policy analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2710-2728.
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  8. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
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  10. Otrok, Christopher, 2001. "Spectral Welfare Cost Functions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(2), pages 345-67, May.
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Cited by:
  1. Cavicchioli, Maddalena, 2013. "Spectral density of Markov-switching VARMA models," Economics Letters, Elsevier, vol. 121(2), pages 218-220.

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