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On Simultaneous Switching Autoregressive Model

Author

Listed:
  • Naoto Kunitomo

    (Faculty of Economics, University of Tokyo.)

  • Seisho Sato

    (The Institute of Statistical Mathematics)

Abstract

The simultaneous switching autoregressive (SSAR) model is a non-linear Markovian time series model, which was originally introduced by Kunitomo and Sato (1996a). This paper gives some conditions for the geometrical ergodicity of the SSAR models and discuss the estimation methods of unknown parameters. Also we shall mention to the relation between the SSAR models in the non-linear time series analysis and one type of disequilibrium econometric models, which is a tobit type in the class of limited dependent variables models. The latter class of econometric models has been extensively investigated and discussed by Amemiya(1985).

Suggested Citation

  • Naoto Kunitomo & Seisho Sato, 1999. "On Simultaneous Switching Autoregressive Model," CIRJE F-Series CIRJE-F-50, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:99cf50
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