Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases

Pang Tianxiao, Zhang Danna, Chong Terence Tai-Leung

This paper examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter $\beta$ near the unity at an unknown time $k_0$. Consider the model…