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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Résumé

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.

langue originale	Anglais
Pages (de - à)	815-818
Nombre de pages	4
journal	Econometric Theory
Volume	18
Numéro de publication	3
Les DOIs	https://doi.org/10.1017/S0266466602183125
état	Publié - 1 juin 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",

volume = "18",

pages = "815--818",

journal = "Econometric Theory",

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TY - JOUR

T1 - Comments on the paper by Minxian Yang

T2 - "Some properties of vector autoregressive processes with Markov-switching coefficients"

AU - Franco, Christian

AU - Zakoïan, Jean Michel

PY - 2002/6/1

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.

UR - https://www.scopus.com/pages/publications/0036627459

U2 - 10.1017/S0266466602183125

DO - 10.1017/S0266466602183125

M3 - Review article

AN - SCOPUS:0036627459

SN - 0266-4666

VL - 18

SP - 815

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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