The Spectral Representation of Markov-Switching Arma Models
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- Pataracchia, Beatrice, 2011. "The spectral representation of Markov switching ARMA models," Economics Letters, Elsevier, vol. 112(1), pages 11-15, July.
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- repec:ebl:ecbull:eb-17-00098 is not listed on IDEAS
- Beatrice PATARACCHIA, "undated". "Design-Limits in Regime-Switching cases," EcoMod2008 23800104, EcoMod.
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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
NEP fieldsThis 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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