Stability in Threshold VAR Models

Chen Pu () and Semmler Willi ()
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Chen Pu: Melbourne Institute of Technology, 154–158 Sussex Street, Sydney, NSW 2000, Australia
Semmler Willi: Department of Economics, New School for Social Research, 79 Fifth Ave, New York, NY 10003, USA

Studies in Nonlinear Dynamics & Econometrics, 2024, vol. 28, issue 3, 531-544

Abstract: This paper investigates the stability of threshold autoregressive models. We review recent research on stability issues from both a theoretical and empirical standpoint. We provide a sufficient condition for the stationarity and ergodicity of threshold autoregressive models by applying the concept of joint spectral radius to the switching system. The joint spectral radius criterion offers a generally applicable criterion to determine the stability in a threshold autoregressive model.

Keywords: regime switching vector models; SETAR; stability; stationarity (search for similar items in EconPapers)
JEL-codes: C01 C02 C15 C62 E3 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1515/snde-2022-0099

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