Instability in regime switching models-Reference-Cited by-同舟云学术

Instability in regime switching models

Published:2021-11-01 Issue:0 Volume:0 Page:
ISSN:1558-3708
Container-title:Studies in Nonlinear Dynamics & Econometrics
language:en
Short-container-title:

Author:

Chen Pu¹,Hsiao Chih-Ying²,Semmler Willi³⁴

Affiliation:

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

2. Commonwealth Bank of Australia , Darling Park 201, Sussex Street , Sydney 2000 , NSW , Australia

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

4. University Bielefeld , Bielefeld , Germany

Abstract

Abstract In this paper, we look at the instability of a self-exciting regime-switching autoregressive model, specifically regime-switching models that are locally stable in each of their regimes. It turns out that the local stability of each regime is insufficient to ensure the overall stability of the model. The instability’s mechanism is described, and a sufficient condition for the instability is provided.

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-2020-0086/pdf

Reference25 articles.

1. Amendola, A., M. Niglio, and C. Vitale. 2009. “Statistical Properties of Threshold Models.” Communications in Statistics - Theory and Methods 38: 2479–97. https://doi.org/10.1080/03610920802571146.

2. Bec, F., and A. Rahbek. 2004. “Vector Equilibrium Correction Models with Non-linear Discontinuous Adjustments.” The Econometrics Journal 7: 628–51. https://doi.org/10.1111/j.1368-423x.2004.00147.x.

3. Binder, M., and M. Gross. 2013. “Regime-switching Global Vector Autoregressive Models.” In ECB Working Paper Series, No.1569.

4. Boucher, T. R., and D. B. H. Cline. 2007. “Stability of Cyclic Threshold and Threshold-like Autoregressive Time Series Models.” Statistica Sinica 17: 43–62.

5. Boucher, T. R., and D. B. H. Cline. 2009. “Piggybacking Threshold Processes with a Finite State Markov Chain.” Stochastics and Dynamics 9 (2): 187–204. https://doi.org/10.1142/s0219493709002622.

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stability in Threshold VAR Models;Studies in Nonlinear Dynamics & Econometrics;2023-11-13