{"title":"Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends","authors":"Maddalena Cavicchioli","doi":"10.1080/17442508.2023.2227752","DOIUrl":null,"url":null,"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.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"27 1","pages":""},"PeriodicalIF":1.1000,"publicationDate":"2023-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance and Stochastics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/17442508.2023.2227752","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
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.
期刊介绍：
The purpose of Finance and Stochastics is to provide a high standard publication forum for research
- in all areas of finance based on stochastic methods
- on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance.
Finance and Stochastics encompasses - but is not limited to - the following fields:
- theory and analysis of financial markets
- continuous time finance
- derivatives research
- insurance in relation to finance
- portfolio selection
- credit and market risks
- term structure models
- statistical and empirical financial studies based on advanced stochastic methods
- numerical and stochastic solution techniques for problems in finance
- intertemporal economics, uncertainty and information in relation to finance.
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