A note on stationarity of the MTAR process on the boundary of the stationarity region

DOI10.1016/S0165-1765(01)00508-0zbMath0993.60033MaRDI QIDQ5958402

Dong Wan Shin, Oesook Lee

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00508-0

zbMATH Keywords

asymmetry; ergodicity; stationarity; nonstationarity; partial unit roots

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes

Related Items

Asymmetry and nonstationarity for a seasonal time series model, Unit root tests for panel MTAR model with cross-sectionally dependent error, Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data, An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models., A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes, A sign test for unit roots in a momentum threshold autoregressive process

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