Stationarity and ergodicity of vector STAR models

DOI10.1080/07474938.2019.1651489zbMath1490.62255arXiv1805.11311OpenAlexW3101760369WikidataQ127353774 ScholiaQ127353774MaRDI QIDQ5861004

Igor L. Kheifets, Pentti Saikkonen

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.11311

zbMATH Keywords

Markov chainsmixingstationarityjoint spectral radiusvector STAR model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• JSR

Cites Work

• Unnamed Item
• Stability results for nonlinear error correction models
• Markov chains and stochastic stability
• Multivariate specification tests based on a dynamic Rosenblatt transform
• Computing the joint spectral radius
• JSR
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Thresholds and Smooth Transitions in Vector Autoregressive Models
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• Computationally Efficient Approximations of the Joint Spectral Radius
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes

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