On square-integrability of an AR process with Markov switching

J. Yao

Statistics & Probability Letters, 2001, vol. 52, issue 3, 265-270

Abstract: For an autoregressive process with Markov switching, we give a condition ensuring the existence of a square-integrable stationary solution. Unlike conditions based on top Lyapounov exponents, our condition is directly expressed in terms of the parameters of the model. Specific examples are also provided to give more details on this condition.

Keywords: Markov; switching; AR; process; Stationary; solution (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (11)

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