Spectral representation and autocovariance structure of Markov switching DSGE models
Author:
Affiliation:
1. Department of Economics “Marco Biagi”, Modena, Italy
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2018.1563184
Reference44 articles.
1. Markov switching component GARCH model: Stability and forecasting
2. Methods for measuring expectations and uncertainty in Markov-switching models
3. On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing
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