STRUCTURAL CHANGE IN AR(1) MODELS

Terence Tai Leung Chong

Econometric Theory, 2001, vol. 17, issue 1, 87-155

Abstract: This paper investigates the consistency of the least squares estimators and derives their limiting distributions in an AR(1) model with a single structural break of unknown timing. Let β1 and β2 be the preshift and postshift AR parameter, respectively. Three cases are considered: (i) |β1|

Date: 2001
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Working Paper: Structural Change in AR(1) Models (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:01:p:87-155_17

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