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A note on stationarity of the MTAR process on the boundary of the stationarity region

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  • Lee, Oesook
  • Shin, Dong Wan
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    File URL: http://www.sciencedirect.com/science/article/B6V84-44D3WVV-1/2/50e852518e1d802b2780f46e856dde78
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 73 (2001)
    Issue (Month): 3 (December)
    Pages: 263-268

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    Handle: RePEc:eee:ecolet:v:73:y:2001:i:3:p:263-268

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    1. Lee, Oesook & Shin, Dong Wan, 2000. "On geometric ergodicity of the MTAR process," Statistics & Probability Letters, Elsevier, Elsevier, vol. 48(3), pages 229-237, July.
    2. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(3), pages 304-11, July.
    3. Daniel E. Sichel, 1989. "Business cycle asymmetry: a deeper look," Working Paper Series / Economic Activity Section 93, Board of Governors of the Federal Reserve System (U.S.).
    4. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    5. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
    6. Gary Koop & Simon M. Potter, 2004. "Dynamic asymmetries in US unemployment," ESE Discussion Papers 15, Edinburgh School of Economics, University of Edinburgh.
    7. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 92(2), pages 307-28, April.
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    Cited by:
    1. Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, Elsevier, vol. 115(1), pages 29-52, July.
    2. Shin, Dong Wan & Lee, Oesook, 2007. "Asymmetry and nonstationarity for a seasonal time series model," Journal of Econometrics, Elsevier, Elsevier, vol. 136(1), pages 89-114, January.
    3. Lee, O. & Shin, D.W., 2007. "A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes," Economics Letters, Elsevier, Elsevier, vol. 96(2), pages 226-231, August.
    4. Park, Soo Jung & Wan Shin, Dong & Uk Park, Byeong & Chul Kim, Woo & Oh, Man-Suk, 2005. "Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 49(4), pages 1192-1204, June.
    5. Park, Soo Jung & Shin, Dong Wan, 2006. "A sign test for unit roots in a momentum threshold autoregressive process," Statistics & Probability Letters, Elsevier, Elsevier, vol. 76(10), pages 986-990, May.
    6. Man-Suk Oh & Dong Wan Shin, 2002. "Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(5), pages 771-789.

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