Stationarity and ergodicity of vector STAR models

DOI10.1080/07474938.2019.1651489MaRDI QIDQ5861004zbMATHOpenAlexWikidataFDO

Authors 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

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)

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.

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Cites work

• scientific article; zbMATH DE number 1166285 (Why is no real title available?)
• Computationally Efficient Approximations of the Joint Spectral Radius
• Computing the joint spectral radius
• JSR: a toolbox to compute the joint spectral radius
• Markov chains and stochastic stability
• Multivariate specification tests based on a dynamic Rosenblatt transform
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• Stability results for nonlinear error correction models
• Thresholds and smooth transitions in vector autoregressive models
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Vector equilibrium correction models with non‐linear discontinuous adjustments

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

Describes a project that uses

Uses Software

• JSR

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