The probabilistic properties of d-valued Markov-switching autoregressive moving average (ARMA) processes with a general state space parameter chain are analyzed. Stationarity and ergodicity conditions are given, and an easy-to-check general sufficient stationarity condition based on a tailor-made norm is introduced. Moreover, it is shown that causality of all individual regimes is neither a necessary nor a sufficient criterion for strict negativity of the associated Lyapunov exponent.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 25 (2009) Issue (Month): 01 (February) Pages: 43-62 Download reference. The following formats are available: HTML
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