We investigate the L2-structure of Markov switching Dynamic Stochastic General Equilibrium (MS DSGE) models and derive conditions for strict and second-order stationarity. Then we determine the autocovariance function of the process driven by a stationary MS DSGE model and give a stable VARMA representation of it. It turns out that the autocovariance structure of the process coincides with that of a standard VARMA. Finally, we propose a method to derive the spectral density in a matrix closed-form of MS DSGE models. Our results relate with the works of Francq and Zakoian, Krolzig, Zhang and Stine. Numerical and empirical illustrations complete the paper.

Spectral Representation and Autocovariance Structure of Markov Switching DSGE Models / Cavicchioli, Maddalena. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - 49:7(2020), pp. 1635-1652. [10.1080/03610926.2018.1563184]

Spectral Representation and Autocovariance Structure of Markov Switching DSGE Models

Maddalena Cavicchioli
2020

Abstract

We investigate the L2-structure of Markov switching Dynamic Stochastic General Equilibrium (MS DSGE) models and derive conditions for strict and second-order stationarity. Then we determine the autocovariance function of the process driven by a stationary MS DSGE model and give a stable VARMA representation of it. It turns out that the autocovariance structure of the process coincides with that of a standard VARMA. Finally, we propose a method to derive the spectral density in a matrix closed-form of MS DSGE models. Our results relate with the works of Francq and Zakoian, Krolzig, Zhang and Stine. Numerical and empirical illustrations complete the paper.
2020
24-gen-2019
49
7
1635
1652
Spectral Representation and Autocovariance Structure of Markov Switching DSGE Models / Cavicchioli, Maddalena. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - 49:7(2020), pp. 1635-1652. [10.1080/03610926.2018.1563184]
Cavicchioli, Maddalena
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1169078
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