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Statistics and Probability Letters
Volumn 52, Issue 3, 2001, Pages 265-270
On square-integrability of an AR process with Markov switching
Author keywords

60J20; 62M10; AR process; Markov switching; Stationary solution
Indexed keywords

EID: 0012103640     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(00)00206-6     Document Type: Article
Times cited : (19)
References (8)
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  • 2
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    • n with stationary coefficients
    • n with stationary coefficients Adv. Appl. Probab. 18:1986;211-220.
    • (1986) Adv. Appl. Probab. , vol.18 , pp. 211-220
    • Brandt, A.1
  • 3
    • 11744382461 scopus 로고    scopus 로고
    • Ergodicity of autoregressive processes with Markov-switching and consistency of the maximum-likelihood estimator
    • Francq C., Roussignol M. Ergodicity of autoregressive processes with Markov-switching and consistency of the maximum-likelihood estimator. Statistics. 32:1998;151-173.
    • (1998) Statistics , vol.32 , pp. 151-173
    • Francq, C.1    Roussignol, M.2
  • 4
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica. 57(2):1989;357-384.
    • (1989) Econometrica , vol.57 , Issue.2 , pp. 357-384
    • Hamilton, J.D.1
  • 5
    • 45149138487 scopus 로고
    • Analysis of time series subject to changes in regime
    • Hamilton J.D. Analysis of time series subject to changes in regime. J. Econom. 45:1990;39-70.
    • (1990) J. Econom. , vol.45 , pp. 39-70
    • Hamilton, J.D.1
  • 6
    • 0000043291 scopus 로고    scopus 로고
    • Specification testing in Markov-switching time-series models
    • Hamilton J.D. Specification testing in Markov-switching time-series models. J. Econom. 70:1996;127-157.
    • (1996) J. Econom. , vol.70 , pp. 127-157
    • Hamilton, J.D.1
  • 7
    • 84981440741 scopus 로고
    • Recursive estimation in switching autoregressions with a Markov regime
    • Holst U., Lingren G., Holst J., Thuvesholmen M. Recursive estimation in switching autoregressions with a Markov regime. J. Time Ser. Anal. 15(5):1994;489-506.
    • (1994) J. Time Ser. Anal. , vol.15 , Issue.5 , pp. 489-506
    • Holst, U.1    Lingren, G.2    Holst, J.3    Thuvesholmen, M.4
  • 8
    • 84981404702 scopus 로고
    • Statistical analysis of econometric time series via Markov switching models.
    • McCulloch R.E., Tsay R.S. Statistical analysis of econometric time series via Markov switching models. J. Time Ser. Anal. 15(5):1994;523-539.
    • (1994) J. Time Ser. Anal. , vol.15 , Issue.5 , pp. 523-539
    • McCulloch, R.E.1    Tsay, R.S.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.