On Stability of Nonlinear AR Processes with Markov Switching

J.-F. Yao and J.-G. Attali

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreductibility condition.

Keywords: MODELS; MATHEMATICS; LINEAR PROGRAMMING (search for similar items in EconPapers)
JEL-codes: C25 (search for similar items in EconPapers)
Pages: 20 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:1999-42

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