Article ID Journal Published Year Pages File Type
5060819 Economics Letters 2011 20 Pages PDF
Abstract
► We propose how to compute the spectral representation of Markov switching ARMA models. ► The spectral density is obtained as the Fourier transform of the autocovariances. ► The frequency of the switching plays an important role in the spectral analysis.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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The spectral representation of Markov switching ARMA models
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