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A note on stationarity of the MTAR process on the boundary of the stationarity region

  • Lee, Oesook
  • Shin, Dong Wan
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    File URL: http://www.sciencedirect.com/science/article/B6V84-44D3WVV-1/2/50e852518e1d802b2780f46e856dde78
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 73 (2001)
    Issue (Month): 3 (December)
    Pages: 263-268

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    Handle: RePEc:eee:ecolet:v:73:y:2001:i:3:p:263-268
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Daniel E. Sichel, 1989. "Business cycle asymmetry: a deeper look," Working Paper Series / Economic Activity Section 93, Board of Governors of the Federal Reserve System (U.S.).
    2. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
      • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
    3. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
    4. Gary Koop & Simon M. Potter, 2004. "Dynamic asymmetries in US unemployment," ESE Discussion Papers 15, Edinburgh School of Economics, University of Edinburgh.
    5. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-11, July.
    6. Lee, Oesook & Shin, Dong Wan, 2000. "On geometric ergodicity of the MTAR process," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 229-237, July.
    7. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
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