Stationarity and ergodicity of vector STAR models

DOI10.1080/07474938.2019.1651489zbMATH Open1490.62255arXiv1805.11311OpenAlexW3101760369WikidataQ127353774 ScholiaQ127353774MaRDI QIDQ5861004FDOQ5861004

Authors: Igor L. Kheifets, Pentti Saikkonen 

Publication date: 4 March 2022

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

Abstract: Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed, implicitly or explicitly. In this paper we describe conditions for stationarity and ergodicity of vector STAR models. The key condition is that the joint spectral radius of certain matrices is below 1, which is not guaranteed if only separate spectral radii are below 1. Our result allows to use recently introduced toolboxes from computational mathematics to verify the stationarity and ergodicity of vector STAR models.

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

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zbMATH Keywords

stationaritymixingMarkov chainsjoint spectral radiusvector STAR model

Mathematics Subject Classification ID

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

Cites Work

• Thresholds and smooth transitions in vector autoregressive models
• Markov chains and stochastic stability
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Stability results for nonlinear error correction models
• Vector equilibrium correction models with non‐linear discontinuous adjustments
• Computationally Efficient Approximations of the Joint Spectral Radius
• JSR: a toolbox to compute the joint spectral radius
• Computing the joint spectral radius
• Title not available (Why is that?)
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• Multivariate specification tests based on a dynamic Rosenblatt transform

Cited In (2)

• Some comments on the theorem providing stationarity conditions for GSTAR models in the paper by Borovkova et al.
• Stability in threshold VAR models

Uses Software

• JSR

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