Iterations of dependent random maps and exogeneity in nonlinear dynamics
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Publication:5024497
DOI10.1017/S0266466620000559zbMATH Open1493.62599arXiv1908.00845OpenAlexW3127234973MaRDI QIDQ5024497FDOQ5024497
Authors: Zinsou-Max Debaly, Lionel Truquet 
Publication date: 26 January 2022
Published in: Econometric Theory (Search for Journal in Brave)
Abstract: We discuss existence and uniqueness of stationary and ergodic nonlinear autoregressive processes when exogenous regressors are incorporated in the dynamic. To this end, we consider the convergence of the backward iterations of dependent random maps. In particular, we give a new result when the classical condition of contraction on average is replaced with a contraction in conditional expectation. Under some conditions, we also derive an explicit control of the functional dependence of Wu (2005) which guarantees a wide range of statistical applications. Our results are illustrated with CHARN models, GARCH processes, count time series, binary choice models and categorical time series for which we provide many extensions of existing results.
Full work available at URL: https://arxiv.org/abs/1908.00845
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Cited In (7)
- A Turning Point Analysis of the Ergodic Dynamics of Iterative Maps
- Multivariate time series models for mixed data
- Time Series Approach to the Evolution of Networks: Prediction and Estimation
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