The spectral representation of Markov switching ARMA models
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- Beatrice Pataracchia, 2008. "The Spectral Representation of Markov-Switching Arma Models," Department of Economics University of Siena 528, Department of Economics, University of Siena.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Beatrice PATARACCHIA, "undated". "Design-Limits in Regime-Switching cases," EcoMod2008 23800104, EcoMod.
- repec:ebl:ecbull:eb-17-00098 is not listed on IDEAS
- Cavicchioli, Maddalena, 2013. "Spectral density of Markov-switching VARMA models," Economics Letters, Elsevier, vol. 121(2), pages 218-220.
More about this item
KeywordsMultivariate ARMA models Regime switching models Markov switching models Frequency domain;
- 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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