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

Authors
Lee, O Shin, DW
Citation
O. Lee et Dw. Shin, A note on stationarity of the MTAR process on the boundary of the stationarity region, ECON LETT, 73(3), 2001, pp. 263-268
Citations number
15
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
73
Issue
3
Year of publication
2001
Pages
263 - 268
Database
ISI
SICI code
0165-1765(200112)73:3<263:ANOSOT>2.0.ZU;2-I
Abstract
We show that the momentum threshold autoregressive (MTAR) process is statio nary (ergodic) on the boundary of the region of stationarity corresponding to partial unit roots. This is in contrast with the fact that the self exci ting TAR (SETAR) process, as well as the linear autoregressive moving avera ge (ARMA) process, is nonstationary on the boundary of the region of statio narity. (C) 2001 Elsevier Science BY. All rights reserved.