COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”

Christian Francq; Jean-Michel Zakoïan

doi:10.1017/S0266466602183125

Abstract

This paper discusses the stationarity conditions proposed by M. Yang (2000, Econometric Theory 16, 23–43), in the framework of Markov-switching first-order autoregressions. A weaker second-order stationarity assumption is proposed.

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Article contents

COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”

Abstract

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This article has been cited by the following publications. This list is generated based on data provided by Crossref.

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COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”

Abstract

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