Title: Instability in SETAR models
Authors: Pu Chen - Melbourne Institute of Technology (Australia) [presenting]
Abstract: The focus is on 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 mechanism leading to the instability is described, and a sufficient condition for the instability is provided. The developed condition is then extended to STAR model and Markov switching models.