ON MARKOV-SWITCHING ARMA PROCESSESâ€”STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY
Econometric Theory, 2009, vol. 25, issue 1, 43-62
The probabilistic properties of â„ d-valued Markov-switching autoregressive moving average (ARMA) processes with a general state space parameter chain are analyzed. Stationarity and ergodicity conditions are given, and an easy-to-check general sufficient stationarity condition based on a tailor-made norm is introduced. Moreover, it is shown that causality of all individual regimes is neither a necessary nor a sufficient criterion for strict negativity of the associated Lyapunov exponent.Finiteness of moments is also considered and geometric ergodicity and strong mixing are proven. The easily verifiable sufficient stationarity condition is extended to ensure these properties.
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:01:p:43-62_09
Access Statistics for this article
More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().