ON THE EXISTENCE OF THE STATIONARY AND ERGODIC NEAR(p) MODEL

Kung‐sik Chan

Journal of Time Series Analysis, 1988, vol. 9, issue 4, 319-328

Abstract: Abstract. The NEAR(2) model proposed by Lawrance and Lewis in 1985 is generalized to the NEAR(p) model. A necessary and sufficient condition for the existence of an ‘innovation’ sequence and a stationary ergodic process satisfying the NEAR(p) model is derived. It is shown that the ‘innovation’ sequence is distributed as a mixture of exponentials.

Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:4:p:319-328

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