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The mixing property of bilinear and generalised random coefficient autoregressive models

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  • Dinh Tuan, Pham
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    Abstract

    The paper gives sufficient conditions for the absolute regularity of bilinear models. Our approach is based on their Markovian representation. The above property is a direct consequence of the geometric ergodicity of the Markovian process in this representation. The latter process belongs to what we call the generalised random coefficients autoregressive models. Conditions for the geometric ergodicity and also for the existence of moments for this model are given. Our results generalise that of Feigin and Tweedie.

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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 23 (1986)
    Issue (Month): 2 (December)
    Pages: 291-300

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    Handle: RePEc:eee:spapps:v:23:y:1986:i:2:p:291-300

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    Related research

    Keywords: absolute regularity * bilinear model * geometric ergodicity * Markov chain on general space * mixing * random coefficient autoregressive model;

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    Cited by:
    1. Lu, Zudi & Linton, Oliver, 2007. "Local Linear Fitting Under Near Epoch Dependence," Econometric Theory, Cambridge University Press, vol. 23(01), pages 37-70, February.
    2. J. Terpstra & M. Rao, 2001. "Generalized Rank Estimates For An Autoregressive Time Series: A U-Statistic Approach," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 155-179, May.
    3. FERNANDES, Marcelo & GRAMMIG, Joachim, 2001. "A family of autoregressive conditional duration models," CORE Discussion Papers 2001036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
    5. Altissimo, Filippo & Violante, Giovanni L, 2000. "The Nonlinear Dynamics of Output and Unemployment in the US," CEPR Discussion Papers 2475, C.E.P.R. Discussion Papers.

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