On square-integrability of an AR process with Markov switching
AbstractFor an autoregressive process with Markov switching, we give a condition ensuring the existence of a square-integrable stationary solution. Unlike conditions based on top Lyapounov exponents, our condition is directly expressed in terms of the parameters of the model. Specific examples are also provided to give more details on this condition.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 52 (2001)
Issue (Month): 3 (April)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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- Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
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