Premium
Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR‐ARCH Models
Author(s) -
Cline Daren B. H.
Publication year - 2007
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2006.00508.x
Subject(s) - autoregressive model , ergodic theory , heteroscedasticity , mathematics , arch , parameter space , exponent , space (punctuation) , mathematical analysis , statistical physics , econometrics , statistics , computer science , physics , linguistics , civil engineering , philosophy , engineering , operating system
. We demonstrate a reliable and computationally feasible method for determining whether a given threshold autoregression autoregressive conditional heteroscedastic (AR‐ARCH) model is ergodic, and for determining which moments exist when it is ergodic. This method may be used to delineate the parameter space of the model. We show (for an order 2 model) that the parameter space is much less constrained than commonly is assumed.