On geometric ergodicity of the MTAR process
We consider the momentum threshold autoregressive (MTAR) process and characterize the region of the autoregressive coefficients for geometric ergodicity. The region is a proper subset of the ergodic region of the TAR process. We show that the process is geometrically ergodic inside the region and is transient outside the closure of the region.
Volume (Year): 48 (2000)
Issue (Month): 3 (July)
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