Asymptotic inferences for an AR(1) model with a change point and possibly infinite variance
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Publication:2807610
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Cites work
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Donsker's theorem for self-normalized partial sums processes
- Empirical Likelihood Ratio Test for a Change-Point in Linear Regression Model
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations
- Ratio-based estimators for a change point in persistence
- Structural change in AR(1) models
- Testing for structural change in regression quantiles
- Testing for structural change of AR model to threshold AR model
- When is the Student \(t\)-statistic asymptotically standard normal?
Cited in
(5)- Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
- Estimating change points in nonparametric time series regression models
- Structural change in nonstationary \(\mathrm{AR}(1)\) models
- Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
- Inference for mean change-point in infinite variance \(AR(p)\) process
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