Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends

DOI10.1080/17442508.2023.2227752zbMath1529.62071OpenAlexW4382403839MaRDI QIDQ6189981

Maddalena Cavicchioli

Publication date: 5 February 2024

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2023.2227752

zbMATH Keywords

asymptotic distributionBrownian motionMarkov chainunit rootOLS estimatorMarkov switching VAR modelMarkov switching trend

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

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