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On geometric ergodicity of CHARME models

✍ Scribed by Jean-Pierre Stockis; Jürgen Franke; Joseph Tadjuidje Kamgaing


Book ID
111040135
Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
339 KB
Volume
31
Category
Article
ISSN
0143-9782

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On geometric ergodicity of the MTAR proc
✍ Oesook Lee; Dong Wan Shin 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 114 KB

We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coe cients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is t