IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v44y2015i22p4848-4865.html
   My bibliography  Save this article

Asymptotic Inferences for an AR(1) Model with a Change Point and Possibly Infinite Variance

Author

Listed:
  • Tianxiao Pang
  • Danna Zhang

Abstract

The basic model in this paper is an AR(1) model with a structural break in the AR parameter β at an unknown time k0. That is, yt = β1yt − 1I{t ⩽ k0} + β2yt − 1I{t > k0} + ϵt, t = 1, 2, ⋅⋅⋅, T, where I{ · } denotes the indicator function. Suppose |β1|

Suggested Citation

  • Tianxiao Pang & Danna Zhang, 2015. "Asymptotic Inferences for an AR(1) Model with a Change Point and Possibly Infinite Variance," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 44(22), pages 4848-4865, November.
    • Handle: RePEc:taf:lstaxx:v:44:y:2015:i:22:p:4848-4865
    DOI: 10.1080/03610926.2013.802349
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2013.802349
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2013.802349?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pang, Tianxiao & Tai-Leung Chong, Terence & Zhang, Danna & Liang, Yanling, 2018. "Structural Change In Nonstationary Ar(1) Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 985-1017, October.
    2. Maria Mohr & Leonie Selk, 2020. "Estimating change points in nonparametric time series regression models," Statistical Papers, Springer, vol. 61(4), pages 1437-1463, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:44:y:2015:i:22:p:4848-4865. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.