Stability in Threshold VAR Models
Chen P, Semmler W (2023)
Studies in Nonlinear Dynamics & Econometrics.
Zeitschriftenaufsatz
| E-Veröff. vor dem Druck | Englisch
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Autor*in
Chen, Pu;
Semmler, WilliUniBi
Einrichtung
Abstract / Bemerkung
This paper investigates the stability of threshold autoregressive models. We review recent research on stability issues from both a theoretical and empirical standpoint. We provide a sufficient condition for the stationarity and ergodicity of threshold autoregressive models by applying the concept of joint spectral radius to the switching system. The joint spectral radius criterion offers a generally applicable criterion to determine the stability in a threshold autoregressive model.
Stichworte
regime switching vector models;
SETAR;
stability;
stationarity
Erscheinungsjahr
2023
Zeitschriftentitel
Studies in Nonlinear Dynamics & Econometrics
ISSN
1081-1826
eISSN
1558-3708
Page URI
https://pub.uni-bielefeld.de/record/2985371
Zitieren
Chen P, Semmler W. Stability in Threshold VAR Models. Studies in Nonlinear Dynamics & Econometrics. 2023.
Chen, P., & Semmler, W. (2023). Stability in Threshold VAR Models. Studies in Nonlinear Dynamics & Econometrics. https://doi.org/10.1515/snde-2022-0099
Chen, Pu, and Semmler, Willi. 2023. “Stability in Threshold VAR Models”. Studies in Nonlinear Dynamics & Econometrics.
Chen, P., and Semmler, W. (2023). Stability in Threshold VAR Models. Studies in Nonlinear Dynamics & Econometrics.
Chen, P., & Semmler, W., 2023. Stability in Threshold VAR Models. Studies in Nonlinear Dynamics & Econometrics.
P. Chen and W. Semmler, “Stability in Threshold VAR Models”, Studies in Nonlinear Dynamics & Econometrics, 2023.
Chen, P., Semmler, W.: Stability in Threshold VAR Models. Studies in Nonlinear Dynamics & Econometrics. (2023).
Chen, Pu, and Semmler, Willi. “Stability in Threshold VAR Models”. Studies in Nonlinear Dynamics & Econometrics (2023).
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