On Stability of Nonlinear AR Processes with Markov Switching.

We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreductibility condition.

MoreLess

Year of publication:	1999
Authors:	Yao, J.-F. ; Attali, J.-G.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	MODELS \| MATHEMATICS \| LINEAR PROGRAMMING

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	20 pages
Classification:	C25 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005776529