The geometric ergodicity and existence of moments for a class of non-linear time series model
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- Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
- Paul D. Feigin & Richard L. Tweedie, 1985. "Random Coefficient Autoregressive Processes:A Markov Chain Analysis Of Stationarity And Finiteness Of Moments," Journal of Time Series Analysis, Wiley Blackwell, vol. 6(1), pages 1-14, January.
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- Janusz Kawczak & Reg Kulperger & Hao Yu, 2005. "The empirical distribution function and partial sum process of residuals from a stationary arch with drift process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(4), pages 747-765, December.
- Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
- Laïb, Naâmane & Lounis, Tewfik, 2021. "Asymptotically optimal tests for non-linear autoregressive model with β-ARCH errors," Statistics & Probability Letters, Elsevier, vol. 178(C).
- Hwang, S. Y. & Woo, Mi-Ja, 2001. "Threshold ARCH(1) processes: asymptotic inference," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 11-20, May.
- Hwang, S. Y. & Kim, Tae Yoon, 2004. "Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure," Stochastic Processes and their Applications, Elsevier, vol. 110(2), pages 295-314, April.
- Carvalho, Alexandre & Skoulakis, Georgios, 2005. "Ergodicity and existence of moments for local mixtures of linear autoregressions," Statistics & Probability Letters, Elsevier, vol. 71(4), pages 313-322, March.
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Keywords
Nonlinear time series [beta]-ARCH model Markov chain Geometric ergodicity Higher-order moments;Statistics
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