SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV -SWITCHING COEFFICIENTS MI I IN N NX X XI I IA A AN N N YA A AN N NG

Some statistical properties of a vector autoregressive process with Markov-switching coefficients are considered+ Sufficient conditions for this nonlinear process to be covariance stationary are given+ The second moments of the process are derived under the conditions+ The autocovariance matrix decays at exponential rate, permitting the application of the law of large numbers+ Under the stationarity conditions, although sharing the "mean-reverting" property with conventional linear stationary processes, the process offers richer short-run dynamics such as conditional heteroskedasticity, asymmetric responses, and occasional nonstationary behavior