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摘要
The basic model in this paper is an AR(1) model with a structural break in the AR parameter at an unknown time k(0). That is, y(t) = (1)y(t - 1)I{t k(0)} + (2)y(t - 1)I{t > k(0)} + E-t, t = 1, 2, , T, where I{ <bold> </bold>} denotes the indicator function. Suppose |(1)| < 1, |(2)| < 1, and {E-t, t 1} is a sequence of i.i.d. random variables which are in the domain of attraction of the normal law with zero mean and possibly infinite variance, then the limiting distributions for the least squares estimators of (1) and (2) are studied in the present paper, which extend some results in Chong (2001).
- 出版日期2015
- 单位浙江大学
