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

共 50 条

[41] Zeno points in optimal control models with endogenous regime switching
Seidl, Andrea
[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2019, 100 : 353 - 368
[42] Applications of regime-switching models based on aggregation operators
Komornik, Jozef
Komornikova, Magda
[J]. KYBERNETIKA, 2007, 43 (04) : 431 - 442
[43] Regime switching and the forecasting bias of asymmetric error correction models
Cook, S
[J]. APPLIED ECONOMICS LETTERS, 2001, 8 (09) : 569 - 571
[44] A new algorithm for calibrating local regime-switching models
He, Xin-Jiang
Zhu, Song-Ping
[J]. IMA JOURNAL OF MANAGEMENT MATHEMATICS, 2021, 32 (02) : 237 - 255
[45] Aggregate Australian Takeovers: A Review of Markov Regime Switching Models
Duong, Lien
[J]. INTERNATIONAL REVIEW OF FINANCE, 2013, 13 (04) : 529 - 558
[46] Analysis of current account reversals via regime switching models
Aßmann C.
Boysen-Hogrefe J.
[J]. Economic Change and Restructuring, 2010, 43 (1) : 21 - 43
[47] Differentiable Bootstrap Particle Filters for Regime-Switching Models
Li, Wenhan
Chen, Xiongjie
Wang, Wenwu
Elvira, Victor
Li, Yunpeng
[J]. 2023 IEEE STATISTICAL SIGNAL PROCESSING WORKSHOP, SSP, 2023, : 200 - 204
[48] Regime-Switching Factor Investing with Hidden Markov Models
Wang, Matthew
Lin, Yi-Hong
Mikhelson, Ilya
[J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2020, 13 (12)
[49] Regime-switching empirical similaritymodel: a comparison with baseline models
Bahromov, Jamol
[J]. EMPIRICAL ECONOMICS, 2022, 63 (05) : 2655 - 2674
[50] Autocovariance structure of Markov regime switching models and model selection
Zhang, J
Stine, RA
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2001, 22 (01) : 107 - 124

← 1 2 3 4 5 →