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.
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Volume (Year): 48 (2000)
Issue (Month): 3 (July)
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