状态切换模型的不稳定性

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2021-02-18 DOI:10.2139/ssrn.3788501

Pu Chen, Chih-ying Hsiao, W. Semmler

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引用次数: 2

摘要

摘要在本文中，我们研究了自激状态切换自回归模型的不稳定性，特别是在每个状态下局部稳定的状态切换模型。结果表明，每个政权的局部稳定性不足以保证模型的整体稳定性。描述了失稳的机理，并为失稳提供了充分条件。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Instability in regime switching models

Abstract In this paper, we look at the instability of a self-exciting regime-switching autoregressive model, specifically regime-switching models that are locally stable in each of their regimes. It turns out that the local stability of each regime is insufficient to ensure the overall stability of the model. The instability’s mechanism is described, and a sufficient condition for the instability is provided.

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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.