STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS
非平稳 AR(1) 模型中的结构变化
This article revisits the asymptotic inference for nonstationary AR(1) models of Phillips and Magdalinos (2007a) by incorporating a structural change in the AR parameter at an unknown time k 0 . Consider the model ${y_t} = {\beta _1}{y_{t - 1}}I\{ t \le {k_0}\} + {\beta _2}{y_{t - 1}}I\{ t > {k_0}\} + {\varepsilon _t},t = 1,2, \ldots ,T$ , where I {·} denotes the indicator function, one of ${\beta _1}$ and ${\beta _2}$ depends on the sample size T , and the other is equal to…