On first and second order stationarity of random coefficient models

Abstract

We give conditions for first and second order stationarity of mixture autoregressive processes. We obtain a simple condition for positive definiteness of the solution of a generalisation of the Stein's equation with semidefinite right-hand side and apply it to second order stationarity. The said condition may be of independent interest. © 2010 Elsevier Inc. All rights reserved.