1997 | OriginalPaper | Buchkapitel
The Markov-Switching Vector Autoregressive Model
verfasst von : Dr. Hans-Martin Krolzig
Erschienen in: Markov-Switching Vector Autoregressions
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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This first chapter is devoted to a general introduction into the Markov-switching vector autoregressive (MS-VAR) time series model. In Section 1.2 we present the fundamental assumptions constituting this class of models. The discussion of the two components of MS-VAR processes will clarify their on time invariant vector auto-regressive and Markov-chain models. Some basic stochastic properties of MS-VAR processes are presented in Section 1.3. Finally, MS-VAR models are compared to alternative non-normal and non-linear time series models proposed in the literature. As most non-linear models have been developed for univariate time series, this discussion is restricted to this case. However, generalizations to the vector case are also considered.