Instability in regime switching models

Chen P, Hsiao C-Y, Semmler W (2021)
Studies in Nonlinear Dynamics and Econometrics .

Zeitschriftenaufsatz | E-Veröff. vor dem Druck | Englisch
 
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Autor*in
Chen, Pu; Hsiao, Chih-Ying; Semmler, WilliUniBi
Abstract / Bemerkung
In this paper, we look at the instability of a self-exciting regime-switching autoregressive model, specifically regime-switching models that are locally stable in each of their regimes. It turns out that the local stability of each regime is insufficient to ensure the overall stability of the model. The instability's mechanism is described, and a sufficient condition for the instability is provided.
Stichworte
instability; regime switching models; SETAR
Erscheinungsjahr
2021
Zeitschriftentitel
Studies in Nonlinear Dynamics and Econometrics
ISSN
1081-1826
eISSN
1558-3708
Page URI
https://pub.uni-bielefeld.de/record/2960723

Zitieren

Chen P, Hsiao C-Y, Semmler W. Instability in regime switching models. Studies in Nonlinear Dynamics and Econometrics . 2021.
Chen, P., Hsiao, C. - Y., & Semmler, W. (2021). Instability in regime switching models. Studies in Nonlinear Dynamics and Econometrics . https://doi.org/10.1515/snde-2020-0086
Chen, P., Hsiao, C. - Y., and Semmler, W. (2021). Instability in regime switching models. Studies in Nonlinear Dynamics and Econometrics .
Chen, P., Hsiao, C.-Y., & Semmler, W., 2021. Instability in regime switching models. Studies in Nonlinear Dynamics and Econometrics .
P. Chen, C.-Y. Hsiao, and W. Semmler, “Instability in regime switching models”, Studies in Nonlinear Dynamics and Econometrics , 2021.
Chen, P., Hsiao, C.-Y., Semmler, W.: Instability in regime switching models. Studies in Nonlinear Dynamics and Econometrics . (2021).
Chen, Pu, Hsiao, Chih-Ying, and Semmler, Willi. “Instability in regime switching models”. Studies in Nonlinear Dynamics and Econometrics (2021).

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