Asymptotic inferences for an AR(1) model with a change point and possibly infinite variance
DOI10.1080/03610926.2013.802349zbMATH Open1336.60048OpenAlexW2180367091MaRDI QIDQ2807610FDOQ2807610
Authors: Tian-Xiao Pang, Danna Zhang 
Publication date: 25 May 2016
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.802349
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change pointleast squares estimatorlimiting distributiondomain of attraction of the normal lawAR(1) model
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05)
Cites Work
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Title not available (Why is that?)
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Structural change in AR(1) models
- When is the Student \(t\)-statistic asymptotically standard normal?
- Donsker's theorem for self-normalized partial sums processes
- Testing for structural change in regression quantiles
- Empirical Likelihood Ratio Test for a Change-Point in Linear Regression Model
- Testing for structural change of AR model to threshold AR model
- Ratio-based estimators for a change point in persistence
Cited In (4)
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