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Comments On The Paper By Minxian Yang: “Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients”

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  • Francq, Christian
  • Zakoïan, Jean-Michel

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.

Suggested Citation

  • Francq, Christian & Zakoïan, Jean-Michel, 2002. "Comments On The Paper By Minxian Yang: “Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients”," Econometric Theory, Cambridge University Press, vol. 18(3), pages 815-818, June.
    • Handle: RePEc:cup:etheor:v:18:y:2002:i:03:p:815-818_18
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    Cited by:

    1. Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts, 2010. "Theory and inference for a Markov switching GARCH model," Econometrics Journal, Royal Economic Society, vol. 13(2), pages 218-244, July.
    2. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
    3. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
    4. Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro, 2016. "Skewness and kurtosis of multivariate Markov-switching processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 153-159.
    5. Cavicchioli, Maddalena, 2023. "Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables," Journal of Multivariate Analysis, Elsevier, vol. 196(C).

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