On the stability of nonlinear ARMA models

Fonseca Giovanni
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Fonseca Giovanni: Department of Economics, University of Insubria, Italy

Economics and Quantitative Methods from Department of Economics, University of Insubria

Abstract: In the present paper we study the stability of a class of nonlinear ARMA models. We derive a sufficient condition to ensure the geometric ergodicity and we apply it to a very general threshold ARMA model imposing a mild assumption on the thresholds

Keywords: Nonlinear ARMA models; threshold ARMA processes; stationary processes; geometric ergodicity (search for similar items in EconPapers)
Pages: 11 pages
Date: 2005-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0503

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