Comments on the paper by Minxian Yang: "Some properties of vector autoregressive processes with Markov-switching coefficients"

Christian Franco; Jean Michel Zakoïan

doi:10.1017/S0266466602183125

Comments on the paper by Minxian Yang: "Some properties of vector autoregressive processes with Markov-switching coefficients"

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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 auto-regressions. A weaker second-order stationarity assumption is proposed.

Original language	English
Pages (from-to)	815-818
Number of pages	4
Journal	Econometric Theory
Volume	18
Issue number	3
DOIs	https://doi.org/10.1017/S0266466602183125
Publication status	Published - 1 Jun 2002

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title = "Comments on the paper by Minxian Yang: {"}Some properties of vector autoregressive processes with Markov-switching coefficients{"}",

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 auto-regressions. A weaker second-order stationarity assumption is proposed.",

author = "Christian Franco and Zako{\"i}an, \{Jean Michel\}",

year = "2002",

month = jun,

day = "1",

doi = "10.1017/S0266466602183125",

language = "English",

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journal = "Econometric Theory",

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AU - Zakoïan, Jean Michel

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Y1 - 2002/6/1

N2 - This paper discusses the stationarity conditions proposed by M. Yang (2000, Econometric Theory 16, 23-43), in the framework of Markov-switching first-order auto-regressions. A weaker second-order stationarity assumption is proposed.

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

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DO - 10.1017/S0266466602183125

M3 - Review article

AN - SCOPUS:0036627459

SN - 0266-4666

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EP - 818

JO - Econometric Theory

JF - Econometric Theory

IS - 3

ER -

Comments on the paper by Minxian Yang: "Some properties of vector autoregressive processes with Markov-switching coefficients"

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