Abstract
We provide a formal definition of an M-state multivariate Markov switching trend, describe its asymptotic distribution, and consider vector autoregressive processes with trends which contain either unit roots or a stationary part. Then, we estimate the coefficients of such models via ordinary least squares , and determine the asymptotic distributions of estimators in terms of functionals on a multivariate Brownian motion.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
