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On Stability of Nonlinear AR Processes with Markov Switching

Author

Listed:
  • Yao, J.-F.
  • Attali, J.-G.

Abstract

We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreductibility condition.

Suggested Citation

  • Yao, J.-F. & Attali, J.-G., 1999. "On Stability of Nonlinear AR Processes with Markov Switching," Papiers d'Economie Mathématique et Applications 1999-42, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:1999-42
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    More about this item

    Keywords

    MODELS ; MATHEMATICS ; LINEAR PROGRAMMING;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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