Stationarity and ergodicity of vector STAR models
Igor Kheifets and
Pentti Saikkonen
Econometric Reviews, 2020, vol. 39, issue 4, 407-414
Abstract:
Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed, implicitly or explicitly. In this paper, we describe conditions for stationarity and ergodicity of vector STAR models. The key condition is that the joint spectral radius of certain matrices is below 1. It is not sufficient to assume that separate spectral radii are below 1. Our result allows to use recently introduced toolboxes from computational mathematics to verify the stationarity and ergodicity of vector STAR models.
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2019.1651489 (text/html)
Access to full text is restricted to subscribers.
Related works:
Working Paper: Stationarity and ergodicity of vector STAR models (2019) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:39:y:2020:i:4:p:407-414
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20
DOI: 10.1080/07474938.2019.1651489
Access Statistics for this article
Econometric Reviews is currently edited by Dr. Essie Maasoumi
More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().