Exact formulae are provided for the calculation of multivariate skewness and kurtosis of Markov-switching Vector Auto-Regressive (MS VAR) processes as well as for the general class of MS state space (MS SS) models. The use of the higher-order moments in non-linear modelling is illustrated with two examples. A Matlab code that implements the results is available from the authors.
FIORENTINI Gabriele;
PLANAS Christophe;
ROSSI Alessandro;
2015-11-30
ELSEVIER SCIENCE BV
JRC96607
0167-9473,
http://www.sciencedirect.com/science/article/pii/S0167947315001474,
https://publications.jrc.ec.europa.eu/repository/handle/JRC96607,
10.1016/j.csda.2015.06.009,
| Name | Country | City | Type |
|---|
This document is only visible at the Commission level.
You are not authorized to publish or distribute it outside the European Commission.
This is a public document. You can share this publication.
Datasets
| ID | Title | Public URL |
|---|
Dataset collections
| ID | Acronym | Title | Public URL |
|---|
Scripts / source codes
| Description | Public URL |
|---|
Additional supporting files
| File name | Description | File type |
|---|