Inference and Ergodicity in the Autoregressive Conditional Root Model
نویسندگان
چکیده
In this paper we develop a vector time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term relationship. The autoregressive conditional root (ACR) process is shown to be geometrically ergodic, stationary and posess all moments under simple conditions. Furthermore, we establish consistency and asymptotic normality of the maximum likelihood estimators in the ACR model.
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