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On square-integrability of an AR process with Markov switching

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  • Yao, J.
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    Abstract

    For 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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    File URL: http://www.sciencedirect.com/science/article/B6V1D-42VM8V5-6/2/1bd1d45db8cc6d4799065e4279d3f1b6
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 52 (2001)
    Issue (Month): 3 (April)
    Pages: 265-270

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    Handle: RePEc:eee:stapro:v:52:y:2001:i:3:p:265-270

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    Related research

    Keywords: Markov switching AR process Stationary solution;

    References

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    1. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
    2. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    3. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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    Cited by:
    1. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
    2. Camacho, Maximo, 2005. "Markov-switching stochastic trends and economic fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 135-158, January.

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