Abstract
This paper studies periodic stationarity of a random coefficient periodic autoregression (RCPAR) which generalizes the standard random coefficient autoregressive (RCAR) model to the case where the deterministic parameters and the disturbance variances are periodically time-varying. Sufficient conditions for the existence of a (strictly and second-order) periodically stationary solution to the RCPAR equation are proposed. As an application, we study periodic stationarity, of a class of periodic bilinear models and a periodic autoregression with periodic ARCH errors. (c) 2008 Elsevier B.V. All rights reserved.