Guidolin, Massimo (contributor); Ono, Sadayuki (contributor) - 2005
the
definition of transition probability matrix (2) it follows that since E[u
t+1
|ξ
t
] = 0 by assumption,
E[ξ
t+1
|ξ
t … (MS)
VAR(p) process with heteroskedastic component, compactly MSIAH(k,p) (see Krolzig (1997)):
y
t
= µ
S
t
+
p
X
j=1
A
j … =0,MSIA(k,p) homoskedastic models,
y
t
= µ
S
t
+
p
X
j=1
A
j,S
t
y
t−j
+Σ²
t
,
in which the covariance matrix is constant …