{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,4]],"date-time":"2026-04-04T19:57:23Z","timestamp":1775332643315,"version":"3.50.1"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2000,2,1]],"date-time":"2000-02-01T00:00:00Z","timestamp":949363200000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,2]]},"abstract":"<jats:p>Some statistical properties of a vector autoregressive \nprocess with Markov-switching coefficients are considered. \nSufficient conditions for this nonlinear process to be \ncovariance stationary are given. The second moments of \nthe process are derived under the conditions. The autocovariance \nmatrix decays at exponential rate, permitting the application \nof the law of large numbers. Under the stationarity conditions, \nalthough sharing the \u201cmean-reverting\u201d property \nwith conventional linear stationary processes, the process \noffers richer short-run dynamics such as conditional heteroskedasticity, \nasymmetric responses, and occasional nonstationary behavior.<\/jats:p>","DOI":"10.1017\/s026646660016102x","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"23-43","source":"Crossref","is-referenced-by-count":50,"title":["SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH \nMARKOV-SWITCHING COEFFICIENTS"],"prefix":"10.1017","volume":"16","author":[{"given":"Minxian","family":"Yang","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2000,2,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646660016102X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,3]],"date-time":"2019-04-03T20:27:30Z","timestamp":1554323250000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646660016102X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2000,2]]}},"alternative-id":["S026646660016102X"],"URL":"https:\/\/doi.org\/10.1017\/s026646660016102x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,2]]}}}