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On Ergodicity of Some TAR(2) Processes

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  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo.)

Abstract

We give a set of conditions for the geometrical ergodicity and the non-explosiveness of the solutions in the second-order threshold autoregressive (TAR) processes. We also discuss some conditions for the geometrical ergodicity of the second-order simultaneous switching autoregressive (SSAR) processes. Unlike the linear autoregressive processes and the first-order TAR processes, the ergodic and non-explosive regions become quite complicated even in some special TAR processes.

Suggested Citation

  • Naoto Kunitomo, 1999. "On Ergodicity of Some TAR(2) Processes," CIRJE F-Series CIRJE-F-55, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:99cf55
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