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Structural change in non-stationary AR(1) models

Terence Tai Leung Chong, Tianxiao Pang, Danna Zhang and Yanling Liang

MPRA Paper from University Library of Munich, Germany

Abstract: This paper revisits the asymptotic inference for non-stationary AR(1) models of Phillips and Magdalinos (2007a) by incorporating a structural change in the AR parameter at an unknown time k0. We derive the limiting distributions of the t-ratios of beta1 and beta2 and the least squares estimator of the change point for the cases above under some mild conditions. Monte Carlo simulations are conducted to examine the finite-sample properties of the estimators. Our theoretical findings are supported by the Monte Carlo simulations.

Keywords: AR(1) model; Least squares estimator; Limiting distribution; Mildly explosive; Mildly integrated; Structural change; Unit root. (search for similar items in EconPapers)
JEL-codes: C2 C22 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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