Title of article
A note on stationarity of the MTAR process on the boundary of the stationarity region
Author/Authors
SHIN، DONG WAN نويسنده , , Lee، Oesook نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
-262
From page
263
To page
0
Abstract
We show that the momentum threshold autoregressive (MTAR) process is stationary (ergodic) on the boundary of the region of stationarity corresponding to partial unit roots. This is in contrast with the fact that the self exciting TAR (SETAR) process, as well as the linear autoregressive moving average (ARMA) process, is nonstationary on the boundary of the region of stationarity.
Keywords
Homotheticity , Distance , translation , Function , Directional
Journal title
Economics Letters
Serial Year
2001
Journal title
Economics Letters
Record number
21799
Link To Document