Article ID Journal Published Year Pages File Type
5062419 Economics Letters 2007 6 Pages PDF
Abstract

We consider a multiple threshold AR(1) model and prove geometric ergodicity of the process on the boundary region and, as an application, we obtain geometric ergodicity of a class of integrated m-m processes.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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A note on geometric ergodicity of a multiple threshold AR(1) processes on the boundary region with application to integrated m-m processes
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