Stability in Threshold VAR Models-Reference-Cited by-同舟云学术

Stability in Threshold VAR Models

Published:2023-11-13 Issue:0 Volume:0 Page:
ISSN:1081-1826
Container-title:Studies in Nonlinear Dynamics & Econometrics
language:en
Short-container-title:

Author:

Chen Pu¹,Semmler Willi²³

Affiliation:

1. Melbourne Institute of Technology , 154–158 Sussex Street , Sydney , NSW 2000 , Australia

2. Department of Economics , New School for Social Research , 79 Fifth Ave , New York , NY 10003 , USA

3. University Bielefeld , Bielefeld , Germany

Abstract

Abstract This paper investigates the stability of threshold autoregressive models. We review recent research on stability issues from both a theoretical and empirical standpoint. We provide a sufficient condition for the stationarity and ergodicity of threshold autoregressive models by applying the concept of joint spectral radius to the switching system. The joint spectral radius criterion offers a generally applicable criterion to determine the stability in a threshold autoregressive model.

Publisher

Walter de Gruyter GmbH

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis

Link

https://www.degruyter.com/document/doi/10.1515/snde-2022-0099/pdf

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