On geometric ergodicity of the MTAR process

Oesook Lee and Dong Wan Shin

Statistics & Probability Letters, 2000, vol. 48, issue 3, 229-237

Abstract: We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coefficients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is transient outside the closure of the region.

Keywords: Asymmetry; Ergodicity; Nonstationarity; Stationarity; Transience (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(99)00208-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:48:y:2000:i:3:p:229-237

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().