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COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”

Published online by Cambridge University Press:  15 May 2002

Christian Francq
Affiliation:
Université du Littoral–Côte d'Opale
Jean-Michel Zakoïan
Affiliation:
GREMARS Université de Lille 3 and CREST

Abstract

This paper discusses the stationarity conditions proposed by M. Yang (2000, Econometric Theory 16, 23–43), in the framework of Markov-switching first-order autoregressions. A weaker second-order stationarity assumption is proposed.

Type
MISCELLANEA
Copyright
© 2002 Cambridge University Press

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