Local Unit Roots and Global Stationarity of TARMA Models

Marcella Niglio () and Cosimo Damiano Vitale ()
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Marcella Niglio: University of Salerno
Cosimo Damiano Vitale: University of Salerno

Methodology and Computing in Applied Probability, 2012, vol. 14, issue 1, 17-34

Abstract: Abstract In this paper the (strict and weak) stationarity of threshold autoregressive moving average models is discussed. After examining the strict stationarity, mainly based on the random coefficient autoregressive representation of the model, we provide sufficient conditions for its weak stationarity that allow to obtain a wider stationarity region with respect to some previous results given in the literature. These conditions are discussed to distinguish between global and local stationarity, whose relation has been considered in detail. The threshold process has been further evaluated to face the problem related to the so called existence of a threshold structure in the data generating process that is strictly related to the stationarity and has significant relevance when the parameters of the model have to be estimated.

Keywords: Global and local stationarity; Threshold ARMA process; Existence; 37M10; 62M10 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11009-010-9166-y

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