Fixed accuracy estimation of parameters in a threshold autoregressive model

2021 ◽  
Author(s):  
Victor V. Konev ◽  
Sergey E. Vorobeychikov
Keyword(s):  
Autoregressive Model ◽  
Estimation Of Parameters ◽  
Accuracy Estimation ◽  
Threshold Autoregressive ◽  
Threshold Autoregressive Model

Subgeometric ergodicity and β-mixing

2021 ◽  
Vol 58 (3) ◽  
pp. 594-608
Author(s):  
Mika Meitz ◽  
Pentti Saikkonen
Keyword(s):  
Markov Chains ◽  
Autoregressive Model ◽  
The Self ◽  
Geometric Ergodicity ◽  
Threshold Autoregressive ◽  
Threshold Autoregressive Model ◽  
Mixing Coefficients ◽  
Initial Distributions

AbstractIt is well known that stationary geometrically ergodic Markov chains are $\beta$ -mixing (absolutely regular) with geometrically decaying mixing coefficients. Furthermore, for initial distributions other than the stationary one, geometric ergodicity implies $\beta$ -mixing under suitable moment assumptions. In this note we show that similar results hold also for subgeometrically ergodic Markov chains. In particular, for both stationary and other initial distributions, subgeometric ergodicity implies $\beta$ -mixing with subgeometrically decaying mixing coefficients. Although this result is simple, it should prove very useful in obtaining rates of mixing in situations where geometric ergodicity cannot be established. To illustrate our results we derive new subgeometric ergodicity and $\beta$ -mixing results for the self-exciting threshold autoregressive model.

The Effect of ICT-Based Market Information Services on the Performance of Agricultural Markets

2013 ◽  
pp. 59-71
Author(s):  
Irene S. Egyir ◽  
Ramatu M. Al-Hassan ◽  
James K. Abakah
Keyword(s):  
Autoregressive Model ◽  
Marked Reduction ◽  
Information Services ◽  
Price Transmission ◽  
Transport Infrastructure ◽  
Transactions Costs ◽  
Market Information ◽  
Threshold Autoregressive ◽  
Threshold Autoregressive Model ◽  
Spatial Price

This study is concerned with how markets of agricultural commodities have responded to the improved ICT-based market information services in Ghana since 2005. The data employed are monthly prices wholesale from 2001-2010, covering four markets in the Northern and Greater Accra regions. The data was used to estimate a threshold autoregressive model to measure the level of spatial price integration between the four markets, and focusing on maize. In addition, data on market structure and conduct was collected from 486 marketers to explain performance indicators. The study finds that, the speed of price transmission in maize markets increased by 6 percent after 2005, however there has not been marked reduction in transactions costs. Despite increased use of the mobile phone, market-based exchanges still rely heavily on visual inspection. The implication is that more should be done to improve transport infrastructure and to ensure enforcement of standardization rules.

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