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

Title
A note on stationarity of the MTAR process on the boundary of the stationarity region
Authors
Lee O.Shin D.W.
Ewha Authors
이외숙신동완
SCOPUS Author ID
이외숙scopus; 신동완scopus
Issue Date
2001
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
vol. 73, no. 3, pp. 263 - 268
Indexed
SSCI; SCOPUS scopus
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. © Elsevier Science B.V.
DOI
10.1016/S0165-1765(01)00508-0
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자연과학대학 > 통계학전공 > Journal papers
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