Stationarity and ergodicity of vector STAR models
Work
Year: 2019
Type: article
Abstract: Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed, implicitly or expli... more
Source: Econometric Reviews
Authors Igor Kheifets, Pentti Saikkonen
Cites: 14
Cited by: 5
Related to: 10
FWCI: 0.313
Citation percentile (by year/subfield): 80.94
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: hybrid