Structural change in AR(1) models

DOI10.1017/S0266466601171045MaRDI QIDQ2716437zbMATH OpenOpenAlexFDO

Authors Terence T. L. Chong

Publication date 16 May 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466601171045

zbMATH Keywords

AR(1) modelchange-point estimateconsistencylimiting distributionsMonte Carlo

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(37)

• A joint test for structural stability and a unit root in autoregressions
• Random coefficient continuous systems: testing for extreme sample path behavior
• Time series test of nonlinear convergence and transitional dynamics
• Inference on a structural break in trend with mildly integrated errors
• Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
• Estimating change points in nonparametric time series regression models
• Estimating multiple breaks in nonstationary autoregressive models
• Quasi-likelihood estimation of structure-changed threshold double autoregressive models
• A note on estimating a structural change in persistence
• Small sample properties of forecasts from autoregressive models under structural breaks
• Estimation and inference of threshold regression models with measurement errors
• Dirichlet process hidden Markov multiple change-point model
• Estimation of change-points in linear and nonlinear time series models
• Asymptotic inferences for an AR(1) model with a change point and possibly infinite variance
• Wald tests for detecting multiple structural changes in persistence
• Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
• Least squares estimation and tests of breaks in mean and variance under misspecification
• An Omnibus Test for Time Series ModelI(d)
• scientific article; zbMATH DE number 1240934 (Why is no real title available?)
• Generic consistency of the break‐point estimator under specification errors
• Inference on segmented cointegration
• Structural change in nonstationary \(\mathrm{AR}(1)\) models
• Markov regime switching in mean and in fractional integration parameter
• Estimating a change point in the long memory parameter
• Unit root test with high-frequency data
• Limit theory for moderate deviations from a unit root with a break in variance
• Non identification of structural change in non stationary AR(1) models
• Theory and applications of TAR model with two threshold variables
• Change point estimation in regression model with response missing at random
• The polynomial aggregated AR(1) model*
• In-fill asymptotic theory for structural break point in autoregressions
• Penetrating sporadic return predictability
• On the asymptotic behavior of bubble date estimators
• Estimation of a Structural Break Point in Linear Regression Models
• On the sample variance of explosive random coefficient autoregressive processes
• Change point in variance of fractionally integrated noise
• A statistical uncertainty principle for estimating the time of a discrete shift in the mean of a continuous time random process

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