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The Stability Of The Ar(1) Process With An Ar(1) Coefficient

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  • Andrew A. Weiss

Abstract

. In this paper we consider a simple time varying coefficient ARMA process:the AR (1) process with an AR (1) coefficient. A basic requirement of the process is that the output has finite variance, and we derive a condition on the parameters for this to be satisfied. The analysis is complicated by the interaction between the equations for the data and the varying coefficient.

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  • Andrew A. Weiss, 1985. "The Stability Of The Ar(1) Process With An Ar(1) Coefficient," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(3), pages 181-186, May.
    • Handle: RePEc:bla:jtsera:v:6:y:1985:i:3:p:181-186
    DOI: 10.1111/j.1467-9892.1985.tb00408.x
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    Cited by:

    1. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107034723, October.
    2. Jesús Crespo Cuaresma & Adelina Gschwandtner, 2008. "Tracing The Dynamics Of Competition: Evidence From Company Profits," Economic Inquiry, Western Economic Association International, vol. 46(2), pages 208-213, April.

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