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 | |
| 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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