DSpace at EWHA: A note on stationarity of the MTAR process on the boundary of the stationarity region

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DC Field	Value	Language
dc.contributor.author	이외숙	*
dc.contributor.author	신동완	*
dc.date.accessioned	2016-08-28T11:08:38Z	-
dc.date.available	2016-08-28T11:08:38Z	-
dc.date.issued	2001	*
dc.identifier.issn	0165-1765	*
dc.identifier.other	OAK-12588	*
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/228692	-
dc.description.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.	*
dc.language	English	*
dc.title	A note on stationarity of the MTAR process on the boundary of the stationarity region	*
dc.type	Article	*
dc.relation.issue	3	*
dc.relation.volume	73	*
dc.relation.index	SSCI	*
dc.relation.index	SCOPUS	*
dc.relation.startpage	263	*
dc.relation.lastpage	268	*
dc.relation.journaltitle	Economics Letters	*
dc.identifier.doi	10.1016/S0165-1765(01)00508-0	*
dc.identifier.scopusid	2-s2.0-0035605288	*
dc.author.google	Lee O.	*
dc.author.google	Shin D.W.	*
dc.contributor.scopusid	이외숙(8425708300)	*
dc.contributor.scopusid	신동완(7403352539)	*
dc.date.modifydate	20240116115756	*