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

被引：6
|
作者：
Lee, O [1 ]
Shin, DW [1 ]
机构：
[1] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea
来源：
ECONOMICS LETTERS | 2001年 / 73卷 / 03期
关键词：
asymmetry; ergodicity; nonstationarity; partial unit roots; stationarity;
D O I：
10.1016/S0165-1765(01)00508-0
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We show that the momentum threshold autoregressive (MTAR) process is stationary (ergodic) on the boundary of the region of stationarity corresponding to partial unit roots. This is in contrast with the fact that the self exciting TAR (SETAR) process, as well as the linear autoregressive moving average (ARMA) process, is nonstationary on the boundary of the region of stationarity. (C) 2001 Elsevier Science BY. All rights reserved.
引用
收藏
页码：263 / 268
页数：6
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