Structural change in AR(1) models
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香港中文大学研究人员 ( 现职)


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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/32WOS source URL

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摘要This paper investigates the consistency of the least squares estimators and derives their limiting distributions in an AR(1) model with a single structural break of unknown timing. Let beta (1) and beta (2) be the preshift and postshift AR parameter, respectively. Three cases are considered: (i) \ beta (1)\ < 1 and beta (2)\ < 1; (ii) beta (1)\ < 1 and (2) = 1; and (iii) beta (1) = 1 and \ beta (2)\ < 1. Cases (ii) and (iii) are of particular interest but are rarely discussed in the literature. Surprising results are that, in both cases, regardless of the location of the change-point estimate, the unit root can always be consistently estimated and the residual sum of squares divided by the sample size converges to a discontinuous function of the change point. In case (iii), <(beta )over cap>(2) does not converge to beta (2) whenever the change-point estimate is lower than the true change point. Further, the limiting distribution of the break-point estimator for shrinking break is asymmetric for case (ii), whereas those for cases (i) and (iii) are symmetric. The appropriate shrinking rate is found to be different in all cases.

着者Chong TTL
期刊名称Econometric Theory
出版年份2001
月份2
日期1
卷号17
期次1
出版社CAMBRIDGE UNIV PRESS
页次87 - 155
国际标準期刊号0266-4666
电子国际标準期刊号1469-4360
语言英式英语

Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; MATHEMATICS, INTERDISCIPLINARY APPLICATIONS; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS; Statistics & Probability; STATISTICS & PROBABILITY