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A Note on Moving‐Average Models with Feedback

Li, Dong - 2012

This note generalizes the results in Li et al. (2012) to threshold moving‐average (TMA) models with more than two regimes. Under some mild conditions, it is shown that multiple‐regime TMA models are always strictly stationary and ergodic without any restriction on the coefficients. This is...

Persistent link: https://www.econbiz.de/10014164723