Hysteretic autoregressive time series models

Guodong Li, Bo Guan, Wai Keung Li and Philip L. H. Yu

Biometrika, 2015, vol. 102, issue 3, 717-723

Abstract: This paper extends the classical two-regime threshold autoregressive model by introducing hysteresis to its regime-switching structure, which leads to a new model: the hysteretic autoregressive model. The proposed model enjoys the piecewise linear structure of a threshold model but has a more flexible regime switching mechanism. A sufficient condition is given for geometric ergodicity. Conditional least squares estimation is discussed, and the asymptotic distributions of its estimators and information criteria for model selection are derived. Simulation results and an example support the model.

Date: 2015
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Citations: View citations in EconPapers (14)

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