Stationarity with Occasionally Binding Constraints
Fuente:
arXiv
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2023
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866916619685462016 |
|---|---|
| author | Duffy, James A. Mavroeidis, Sophocles Wycherley, Sam |
| author_facet | Duffy, James A. Mavroeidis, Sophocles Wycherley, Sam |
| contents | This paper studies a class of multivariate threshold autoregressive models, known as censored and kinked structural vector autoregressions (CKSVAR), which are notably able to accommodate series that are subject to occasionally binding constraints. We develop a set of sufficient conditions for the processes generated by a CKSVAR to be stationary, ergodic, and weakly dependent. Our conditions relate directly to the stability of the deterministic part of the model, and are therefore less conservative than those typically available for general vector threshold autoregressive (VTAR) models. Though our criteria refer to quantities, such as refinements of the joint spectral radius, that cannot feasibly be computed exactly, they can be approximated numerically to a high degree of precision. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2307_06190 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Stationarity with Occasionally Binding Constraints Duffy, James A. Mavroeidis, Sophocles Wycherley, Sam Econometrics Statistics Theory 62M10 (Primary) 60G10, 60G65, 60J05 (Secondary) This paper studies a class of multivariate threshold autoregressive models, known as censored and kinked structural vector autoregressions (CKSVAR), which are notably able to accommodate series that are subject to occasionally binding constraints. We develop a set of sufficient conditions for the processes generated by a CKSVAR to be stationary, ergodic, and weakly dependent. Our conditions relate directly to the stability of the deterministic part of the model, and are therefore less conservative than those typically available for general vector threshold autoregressive (VTAR) models. Though our criteria refer to quantities, such as refinements of the joint spectral radius, that cannot feasibly be computed exactly, they can be approximated numerically to a high degree of precision. |
| title | Stationarity with Occasionally Binding Constraints |
| topic | Econometrics Statistics Theory 62M10 (Primary) 60G10, 60G65, 60J05 (Secondary) |
| url | https://arxiv.org/abs/2307.06190 |