Estimation of time-varying ARMA models with Markovian changes in regime
In this paper, we consider the estimation of time-varying ARMA models subject to Markovian changes in regime. We give explicit conditions ensuring consistency and asymptotic normality, as well as the limiting covariance matrix, of least squares and quasi-generalized least-squares estimators.
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Volume (Year): 70 (2004)
Issue (Month): 4 (December)
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References listed on IDEAS
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- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Christian Francq & Jean-Michel Zakoïan, 2000.
"Stationarity of Multivariate Markov-Switching ARMA Models,"
2000-32, Centre de Recherche en Economie et Statistique.
- Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
- Abdelouahab Bibi & Christian Francq, 2003. "Consistent and asymptotically normal estimators for cyclically time-dependent linear models," Annals of the Institute of Statistical Mathematics, Springer, vol. 55(1), pages 41-68, March.
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