Properties of some bilinear models with periodic regime switching

Abdelouahab Bibi and Moon-ho Ringo Ho

Statistics & Probability Letters, 2004, vol. 69, issue 3, 221-231

Abstract: In this note, we present conditions for the existence and uniqueness of stable causal solution for bilinear time series with periodic coefficients. Conditions for the existence of higher-order moments and invertibility are also given.

Keywords: Time-varying; bilinear; models; Higher; order; moments; Causality; Regularity; Invertibility (search for similar items in EconPapers)
Date: 2004
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