Stability in threshold VAR models

Cites Work

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Stability results for nonlinear error correction models
Threshold models in non-linear time series analysis
A review of threshold time series models in finance
Testing for a linear MA model against threshold MA models
Understanding Markov-switching rational expectations models
Ergodicity and invertibility of threshold moving-average models
On the ergodicity of \(TAR(1)\) processes
Financial stress, regime switching and spillover effects: evidence from a multi-regime global VAR model
Testing for two-regime threshold cointegration in vector error-correction models.
Threshold Vector Arma Models
Vector equilibrium correction models with non‐linear discontinuous adjustments
A threshold AR(1) model
Statistical Properties of Threshold Models
STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Sample Splitting and Threshold Estimation
Testing and Modeling Threshold Autoregressive Processes
On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
Certifying Unstability of Switched Systems Using Sum of Squares Programming
PIGGYBACKING THRESHOLD PROCESSES WITH A FINITE STATE MARKOV CHAIN
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Stationarity and ergodicity of vector STAR models
Instability in regime switching models

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