A note on stationarity of the MTAR process on the boundary of the stationarity region

DOI10.1016/S0165-1765(01)00508-0zbMath0993.60033OpenAlexW1986039158MaRDI QIDQ5958402

Dong Wan Shin, Oesook Lee

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00508-0

zbMATH Keywords

asymmetryergodicitystationaritynonstationaritypartial unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (6)

Asymmetry and nonstationarity for a seasonal time series model ⋮ A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes ⋮ Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data ⋮ A sign test for unit roots in a momentum threshold autoregressive process ⋮ Unit root tests for panel MTAR model with cross-sectionally dependent error ⋮ An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.

Cites Work

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• Threshold models in non-linear time series analysis
• Markov chains and stochastic stability
• On geometric ergodicity of the MTAR process
• Non-linear time series and Markov chains
• A threshold AR(1) model
• On the null recurrence and transience of a first-order SETAR model
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Threshold Cointegration
• Testing for threshold autoregression with conditional heteroscedasticity
• Threshold Autoregression with a Unit Root

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