The Spectral Representation of Markov-Switching Arma Models
AbstractIn this paper we propose a method to derive the spectral representation in the case of a particular class of nonlinear models: Markov Switching ARMA models. The procedure simply relies on the application of the Riesz-Fisher Theorem which describes the spectral density as the Fourier transform of the autocovariance functions. We explicitly show the analytical structure of the spectral density in the simple Markov Switching AR(1). Finally, a monetary policy application of a Markov Switching VAR(4) is presented
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Bibliographic InfoPaper provided by Department of Economics, University of Siena in its series Department of Economics University of Siena with number 528.
Date of creation: Mar 2008
Date of revision:
Multivariate ARMA models; Regime-switching models; Markov switching models; Frequency Domain;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-29 (All new papers)
- NEP-CBA-2008-04-29 (Central Banking)
- NEP-ECM-2008-04-29 (Econometrics)
- NEP-ETS-2008-04-29 (Econometric Time Series)
- NEP-MAC-2008-04-29 (Macroeconomics)
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