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A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

Author

Listed:
  • George Kapetanios

    (Queen Mary, University of London)

Abstract

In this note we look at sufficient conditions for stationarity of a simple random coefficient model and find that this model is guaranteed to be stationary under strict conditions.

Suggested Citation

  • George Kapetanios, 2002. "A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models," Working Papers 475, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:475
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2002/items/wp475.pdf
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    References listed on IDEAS

    as
    1. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
    2. Mohsen Pourahmadi, 1988. "STATIONARITY OF THE SOLUTION OF Xt= AtXt‐1+εt AND ANALYSIS OF NON‐GAUSSIAN DEPENDENT RANDOM VARIABLES," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(3), pages 225-239, May.
    3. Tweedie, Richard L., 1975. "Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space," Stochastic Processes and their Applications, Elsevier, vol. 3(4), pages 385-403, October.
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    More about this item

    Keywords

    Stationarity; Random coefficient models;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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