On general periodic time-varying bilinear processes

Abdelouahab Bibi and Ines Lescheb

Economics Letters, 2012, vol. 114, issue 3, 353-357

Abstract: We study in this note the class of bilinear processes with periodic time-varying coefficients. We give necessary and sufficient conditions ensuring the existence of strict and second order stationary solutions (in periodic sense) and for the existence of higher order moments. The given conditions can be applied to periodic ARMA or periodic GARCH models. The central limit theorem and the law of iterated logarithm (LIL) for higher order sample moments are showed.

Keywords: Periodic models; Bilinear processes; Periodic bilinear processes (search for similar items in EconPapers)
JEL-codes: C13 C19 C22 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:3:p:353-357

DOI: 10.1016/j.econlet.2011.11.013

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