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On The Stability Of A Heteroscedastic Process

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  • Andrew A. Weis

Abstract

. In this paper we derive the stability conditions in a time series regression model with a particular form of conditional heteroscedasticity. The variables affecting the variance include lagged errors, lagged dependent variables and a forecast variable. In addition to the usual stability conditions in a dynamic model, a condition on the parameters of the heteroscedasticity equation is also required.

Suggested Citation

  • Andrew A. Weis, 1986. "On The Stability Of A Heteroscedastic Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(4), pages 303-310, July.
    • Handle: RePEc:bla:jtsera:v:7:y:1986:i:4:p:303-310
    DOI: 10.1111/j.1467-9892.1986.tb00497.x
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