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Estimating multiple breaks in nonstationary autoregressive models
Pang, Tianxiao; Du, Lingjie; Chong, Terence Tai-Leung - In: Journal of econometrics 221 (2021) 1, pp. 277-311
Persistent link: https://www.econbiz.de/10012618836
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Structural change in nonstationary AR(1) models
Pang, Tianxiao; Chong, Terence Tai-Leung; Zhang, Danna; … - In: Econometric theory 34 (2018) 5, pp. 985-1017
Persistent link: https://www.econbiz.de/10011951449
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ASYMPTOTIC INFERENCES FOR AN AR(1) MODEL WITH A CHANGE POINT: STATIONARY AND NEARLY NON-STATIONARY CASES
Pang, Tianxiao; Zhang, Danna; Chong, Terence Tai-Leung - In: Journal of Time Series Analysis 35 (2014) 2, pp. 133-150
type="main" xml:id="jtsa12055-abs-0001"This article examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter β near the unity at an unknown time k<sub>0</sub>. Consider the model y<sub>t</sub> = β<sub>1</sub>y<sub>t − 1</sub>I{t ≤ k<sub>0</sub>} +...
Persistent link: https://www.econbiz.de/10011153156
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Asymptotic Inferences for an AR(1) Model with a Change Point: Stationary and Nearly Non-stationary Cases
Pang, Tianxiao; Zhang, Danna; Chong, Terence Tai-Leung - Volkswirtschaftliche Fakultät, … - 2013
This paper examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter β near the unity at an unknown time k₀. Consider the model y_{t}=β₁y_{t-1}I{t≤k₀}+β₂y_{t-1}I{tk₀}+ε_{t}, t=1,2,⋯,T, where I{⋅} denotes the indicator function. We...
Persistent link: https://www.econbiz.de/10011111119