阈值VAR模型的稳定性

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-11-13 DOI:10.1515/snde-2022-0099

Pu Chen, Willi Semmler

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引用次数: 0

摘要

摘要研究了阈值自回归模型的稳定性问题。我们从理论和实证的角度回顾了最近关于稳定性问题的研究。将联合谱半径的概念应用于开关系统，给出了阈值自回归模型平稳遍历的充分条件。联合谱半径准则为确定阈值自回归模型的稳定性提供了一个普遍适用的准则。

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Stability in Threshold VAR Models

Abstract This paper investigates the stability of threshold autoregressive models. We review recent research on stability issues from both a theoretical and empirical standpoint. We provide a sufficient condition for the stationarity and ergodicity of threshold autoregressive models by applying the concept of joint spectral radius to the switching system. The joint spectral radius criterion offers a generally applicable criterion to determine the stability in a threshold autoregressive model.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.