On Ergodicity of Some TAR(2) Processes

Naoto Kunitomo
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Naoto Kunitomo: Faculty of Economics, University of Tokyo.

No CIRJE-F-55, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: We give a set of conditions for the geometrical ergodicity and the non-explosiveness of the solutions in the second-order threshold autoregressive (TAR) processes. We also discuss some conditions for the geometrical ergodicity of the second-order simultaneous switching autoregressive (SSAR) processes. Unlike the linear autoregressive processes and the first-order TAR processes, the ergodic and non-explosive regions become quite complicated even in some special TAR processes.

Date: 1999-07
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:99cf55

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