A note on stationarity of the MTAR process on the boundary of the stationarity region

Oesook Lee; Dong Wan Shin

doi:10.1016/S0165-1765(01)00508-0

A note on stationarity of the MTAR process on the boundary of the stationarity region

Oesook Lee, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

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.

Original language	English
Pages (from-to)	263-268
Number of pages	6
Journal	Economics Letters
Volume	73
Issue number	3
DOIs	https://doi.org/10.1016/S0165-1765(01)00508-0
State	Published - Dec 2001

Bibliographical note

Funding Information:
This work was supported by Korea Research Foundation Grant (KRF-2000-015-DP0061).

Keywords

Asymmetry
C19
C59
Ergodicity
Nonstationarity
Partial unit roots
Stationarity

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10.1016/S0165-1765(01)00508-0

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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 = "Asymmetry, C19, C59, Ergodicity, Nonstationarity, Partial unit roots, Stationarity",

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AU - Shin, Dong Wan

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N2 - 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.

AB - 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.

KW - Asymmetry

KW - C19

KW - C59

KW - Ergodicity

KW - Nonstationarity

KW - Partial unit roots

KW - Stationarity

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DO - 10.1016/S0165-1765(01)00508-0

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EP - 268

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

A note on stationarity of the MTAR process on the boundary of the stationarity region

Abstract

Bibliographical note

Keywords

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