Munich Personal RePEc Archive

Structural change in non-stationary AR(1) models

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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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.

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