Chong, Terence Tai Leung and Pang, Tianxiao and Zhang, Danna and Liang, Yanling
(2017):
*Structural change in non-stationary AR(1) models.*
Forthcoming in: Econometric Theory

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## 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.

Item Type: | MPRA Paper |
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Original Title: | Structural change in non-stationary AR(1) models |

Language: | English |

Keywords: | AR(1) model, Least squares estimator, Limiting distribution, Mildly explosive, Mildly integrated, Structural change, Unit root. |

Subjects: | C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes |

Item ID: | 80510 |

Depositing User: | Terence T L Chong |

Date Deposited: | 02 Aug 2017 09:38 |

Last Modified: | 28 Sep 2019 11:20 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/80510 |