On Estimation of the Simultaneous Switching Autoregressive Models

Naoto Kunitomo
Additional contact information
Naoto Kunitomo: Faculty of Economics, University of Tokyo

No 97-F-31, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: The simultaneous switching autoregressive (SSAR) model is a non-linear Markovian time series model, which was originally proposed by Kunitomo and Sato (1996) in Structural Change and Economic Dynamics and some of its statistical properties have been investigated by Sato and Kunitomo (1996) in Journal of Time Series Analysis. Since these papers have omitted some derivations of their theoretical results, this note gives more detailed expositions on them which additional technical remarks. We discuss some sufficient conditions for the geometric ergodicity of the SSAR model and the existence of moments. Also we give some sufficient conditions for the consistency and asymptotic normality of the maximum likelihood estimator for the unknown parameters in the SSAR models. Some corrections in the previous papers are given.

Date: 1997-10
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:97f31

Access Statistics for this paper

More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office ().