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Instability in regime switching models

Instability in regime switching models AbstractIn this paper, we look at the instability of a self-exciting regime-switching autoregressive model, specifically regime-switching models that are locally stable in each of their regimes. It turns out that the local stability of each regime is insufficient to ensure the overall stability of the model. The instability’s mechanism is described, and a sufficient condition for the instability is provided. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

Instability in regime switching models

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Publisher
de Gruyter
Copyright
© 2021 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1558-3708
eISSN
1558-3708
DOI
10.1515/snde-2020-0086
Publisher site
See Article on Publisher Site

Abstract

AbstractIn this paper, we look at the instability of a self-exciting regime-switching autoregressive model, specifically regime-switching models that are locally stable in each of their regimes. It turns out that the local stability of each regime is insufficient to ensure the overall stability of the model. The instability’s mechanism is described, and a sufficient condition for the instability is provided.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: Dec 1, 2022

Keywords: instability; regime switching models; SETAR

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