AbstractIn this paper, we reconsider the mixture vector autoregressive model, which was proposed in the literature for modelling non‐linear time series. We complete and extend the stationarity conditions, derive a matrix formula in closed form for the autocovariance function of the process and prove a result on stable vector autoregressive moving‐average representations of mixture vector autoregressive models. For these results, we apply techniques related to a Markovian representation of vector autoregressive moving‐average processes. Furthermore, we analyse maximum likelihood estimation of model parameters by using the expectation–maximization algorithm and propose a new iterative algorithm for getting the maximum likelihood estimates. Finally, we study the model selection problem and testing procedures. Several examples, simulation experiments and an empirical application based on monthly financial returns illustrate the proposed procedures.