We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p* , q* ) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p* and q* with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states.
Autocovariance and Linear Transformations of Markov Switching VARMA Processes / Cavicchioli, Maddalena. - In: CENTRAL EUROPEAN JOURNAL OF ECONOMIC MODELLING AND ECONOMETRICS. - ISSN 2080-0886. - STAMPA. - 6:(2014), pp. 275-289.
Autocovariance and Linear Transformations of Markov Switching VARMA Processes
CAVICCHIOLI, MADDALENA
2014
Abstract
We study the autocovariance structure of a general Markov switching second-order stationary VARMA model. Then we give stable finite order VARMA(p* , q* ) representations for those M-state Markov switching VARMA(p, q) processes where the observables are uncorrelated with the regime variables. This allows us to obtain sharper bounds for p* and q* with respect to the ones existing in literature. Our results provide new insights into stochastic properties and facilitate statistical inference about the orders of MS-VARMA models and the underlying number of hidden states.Pubblicazioni consigliate
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