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

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Abstract
This paper revisits the asymptotic inference for nonstationary 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 tratios 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 finitesample properties of the estimators. Our theoretical findings are supported by the Monte Carlo simulations.
Item Type:  MPRA Paper 

Original Title:  Structural change in nonstationary 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  TimeSeries 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:  02 Aug 2017 09:39 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/80510 