Non identification of structural change in non stationary AR(1) models

DOI10.1080/03610926.2019.1711125OpenAlexW3000021117MaRDI QIDQ5078895

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

Publication date: 25 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2019.1711125

zbMATH Keywords

unit rootleast squares estimatorstructural changedomain 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) Statistics (62-XX)

Related Items (1)

Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes

Cites Work

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• Towards a unified asymptotic theory for autoregression
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• FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION
• Testing for structural change of AR model to threshold AR model
• The Lasso for High Dimensional Regression with a Possible Change Point
• Estimating the locations and number of change points by the sample-splitting method

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