ON MARKOV-SWITCHING ARMA PROCESSES?STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY

Robert Stelzer

Econometric Theory, 2009, vol. 25, issue 01, pages 43-62

Abstract: The probabilistic properties of d-valued Markov-switching autoregressive moving average (ARMA) processes with a general state space parameter chain are analyzed. Stationarity and ergodicity conditions are given, and an easy-to-check general sufficient stationarity condition based on a tailor-made norm is introduced. Moreover, it is shown that causality of all individual regimes is neither a necessary nor a sufficient criterion for strict negativity of the associated Lyapunov exponent.

Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:01:p:43-62_09

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