STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS

DOI10.1017/S0266466617000317zbMath1400.62192OpenAlexW2737342368MaRDI QIDQ4585028

Yanling Liang, Tian-Xiao Pang, Terence Tai-Leung Chong, Danna Zhang

Publication date: 6 September 2018

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466617000317

zbMATH Keywords

limiting distributionschange point

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (10)

Inference on a structural break in trend with mildly integrated errors ⋮ Asymptotic theory for a stochastic unit root model ⋮ Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes ⋮ Penetrating sporadic return predictability ⋮ On the asymptotic behavior of bubble date estimators ⋮ Estimation of a Structural Break Point in Linear Regression Models ⋮ Estimating multiple breaks in nonstationary autoregressive models ⋮ Asymptotic theory for a stochastic unit root model with intercept and under mis-specification of intercept ⋮ Breaks in persistence in fixed-\(T\) panel data ⋮ In-fill asymptotic theory for structural break point in autoregressions

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