Periodic stationarity of random coefficient periodic autoregressions

Abdelhakim Aknouche and Hafida Guerbyenne

Statistics & Probability Letters, 2009, vol. 79, issue 7, 990-996

Abstract: This paper studies periodic stationarity of a random coefficient periodic autoregression (RCPAR) which generalizes the standard random coefficient autoregressive (RCAR) model to the case where the deterministic parameters and the disturbance variances are periodically time-varying. Sufficient conditions for the existence of a (strictly and second-order) periodically stationary solution to the RCPAR equation are proposed. As an application, we study periodic stationarity of a class of periodic bilinear models and a periodic autoregression with periodic ARCH errors.

Date: 2009
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