On general periodic time-varying bilinear processes

We study in this note the class of bilinear processes with periodic time-varying coefficients. We give necessary and sufficient conditions ensuring the existence of strict and second order stationary solutions (in periodic sense) and for the existence of higher order moments. The given conditions can be applied to periodic ARMA or periodic GARCH models. The central limit theorem and the law of iterated logarithm (LIL) for higher order sample moments are showed.

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Year of publication:	2012
Authors:	Bibi, Abdelouahab ; Lescheb, Ines
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 3, p. 353-357
Publisher:	Elsevier
Subject:	Periodic models \| Bilinear processes \| Periodic bilinear processes

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; C19 - Econometric and Statistical Methods: General. Other ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572233