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Stability in Threshold VAR Models

Author

Listed:
  • Chen Pu

    (Melbourne Institute of Technology, 154–158 Sussex Street, Sydney, NSW 2000, Australia)

  • Semmler Willi

    (Department of Economics, New School for Social Research, 79 Fifth Ave, New York, NY 10003, USA)

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.

Suggested Citation

  • Chen Pu & Semmler Willi, 2024. "Stability in Threshold VAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 531-544.
    • Handle: RePEc:bpj:sndecm:v:28:y:2024:i:3:p:531-544:n:1006
    DOI: 10.1515/snde-2022-0099
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    More about this item

    Keywords

    regime switching vector models; SETAR; stability; stationarity;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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