Stationarity and ergodicity of vector STAR models

Igor Kheifets and Pentti Saikkonen

Papers from arXiv.org

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, which is not guaranteed if only 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: 2018-05, Revised 2019-08
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Published in Econometric Reviews 39, 2020, pages 407-414

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http://arxiv.org/pdf/1805.11311 Latest version (application/pdf)

Related works:
Journal Article: Stationarity and ergodicity of vector STAR models (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1805.11311

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