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We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.

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Trend in Markov Switching VAR Models

  • 会议论文

  • 发表日期：

    2025年

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  • Maddalena Cavicchioli

摘要

We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.