Existence of small-order moments for Markov-switching stochastic recurrence equations

Baye Matar Kandji

Statistics & Probability Letters, 2025, vol. 226, issue C

Abstract: In this note, we show that the stationary solution of a stochastic recurrence equation, driven by an independent pair of finite-state space Markov chains and an independent and identically distributed process, admits a small-order moment. We use this property to extend, to the entire stationary parameter space, the consistency and asymptotic normality proofs for a recently introduced Hurdle GARCH model.

Keywords: Stochastic recurrence equations; Markov-switching; Existence of moments; Quasi maximum likelihood; Hurdle GARCH (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2025.110483

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