Instability in regime switching models

被引：1

作者：

Chen, Pu ^{[1
]}

Hsiao, Chih-Ying ^{[2
]}

Semmler, Willi ^{[3
,4
]}

机构：

[1] Melbourne Inst Technol, 154-158 Sussex St, Sydney, NSW 2000, Australia

[2] Commonwealth Bank Australia, Darling Pk 201,Sussex St, Sydney, NSW 2000, Australia

[3] New Sch Social Res, Dept Econ, 79 Fifth Ave, New York, NY 10003 USA

[4] Univ Bielefeld, Bielefeld, Germany

来源：

STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | 2022年 / 26卷 / 05期

关键词：

instability; regime switching models; SETAR; TIME-SERIES; THRESHOLD; STABILITY;

D O I：

10.1515/snde-2020-0086

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：655 / 674

页数：20

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