A1167
Title: Instability in regime switching models
Authors: Chihying Hsiao - (Australia)
Pu Chen - Melbourne Institute of Technology (Australia) [presenting]
Willi Semmler - New School for Social Research (United States)
Abstract: The purpose is to investigate the instability in a self-exciting regime-switching autoregressive model, in particular, those regime-switching models that are locally stable in each of their regimes respectively. It turns out that the stability locally in each of the regimes is not sufficient to guarantee the stability of the model. The mechanism of the instability is explained and a sufficient condition for the instability is provided.