Moments of Markov-switching models

Anna Petričková

Abstract


In this paper we have focused on the class of regime-switching time series models with regimes determined by unobservable variables, concretely Markov-switching models. We have derived second central moment of the MSW models for two cases - state-independent and state-dependent model.

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DOI: https://doi.org/10.2478/tatra.v61i0.308