{"title":"状态切换模型的不稳定性","authors":"Pu Chen,Chih-Ying Hsiao,Willi Semmler","doi":"10.1515/snde-2020-0086","DOIUrl":null,"url":null,"abstract":"Abstract In 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.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"15 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Instability in regime switching models\",\"authors\":\"Pu Chen,Chih-Ying Hsiao,Willi Semmler\",\"doi\":\"10.1515/snde-2020-0086\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract In 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.\",\"PeriodicalId\":501448,\"journal\":{\"name\":\"Studies in Nonlinear Dynamics & Econometrics\",\"volume\":\"15 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Studies in Nonlinear Dynamics & Econometrics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/snde-2020-0086\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Studies in Nonlinear Dynamics & Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/snde-2020-0086","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Abstract In 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.
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