Asymptotic Inferences for an AR(1) Model with a Change Point and Possibly Infinite Variance

DOI10.1080/03610926.2013.802349zbMath1336.60048OpenAlexW2180367091MaRDI QIDQ2807610

Tian-Xiao Pang, Danna Zhang

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.802349

zbMATH Keywords

limiting distributionleast squares estimatorchange pointdomain of attraction of the normal lawAR(1) model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05)

Related Items (2)

STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS ⋮ Estimating change points in nonparametric time series regression models

Cites Work

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• Testing for structural change in regression quantiles
• Ratio-based estimators for a change point in persistence
• When is the Student \(t\)-statistic asymptotically standard normal?
• Donsker's theorem for self-normalized partial sums processes
• STRUCTURAL CHANGE IN AR(1) MODELS
• On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
• Empirical Likelihood Ratio Test for a Change-Point in Linear Regression Model
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Testing for structural change of AR model to threshold AR model

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