A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes

O. Lee, D. W. Shin

Research output: Contribution to journalArticlepeer-review

Abstract

We consider a multiple threshold AR(1) model and prove geometric ergodicity of the process on the boundary region and, as an application, we obtain geometric ergodicity of a class of integrated m-m processes.

Original languageEnglish
Pages (from-to)226-231
Number of pages6
JournalEconomics Letters
Volume96
Issue number2
DOIs
StatePublished - Aug 2007

Keywords

  • Ergodicity
  • Geometric ergodicity
  • Integrated m-m process
  • Min-max model
  • Multiple-threshold AR(1) process

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