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

Tianxiao Pang and Danna Zhang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 22, 4848-4865

Abstract: The basic model in this paper is an AR(1) model with a structural break in the AR parameter β at an unknown time k0. That is, yt = β1yt − 1I{t ⩽ k0} + β2yt − 1I{t > k0} + ϵt, t = 1, 2, ⋅⋅⋅, T, where I{ · } denotes the indicator function. Suppose |β1|

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2013.802349 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:44:y:2015:i:22:p:4848-4865

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2013.802349

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().