STRUCTURAL CHANGE IN AR(1) MODELS

By Terence Tai-Leung Chong. Econometric Theory, 2001

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Theory and Applications of TAR Model with Two Threshold Variables (2012, background): “INTRODUCTION A growing body of threshold models has been developed over the past two decades to capture the nonlinear movement of financial time series. Tong (1983) develops a threshold autoregressive (TAR) model and uses it to predict stock price movements. A number of new models have been proposed”
Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks (2003, unknown): “…by the recent work of Andrews (1993), Andrews and Ploberger (1996), Bai and Perron (1998, 2003), Banerjee, Lumsdaine and Stock (1992), Chu, Stinchcombe and White (1996), Chong (2001), Elliott and Muller (2002), Hansen (1992), Inclan and Tiao (1994) and Ploberger, Kramer and Kontrus (1989).”
Dirichlet Process Hidden Markov Multiple Change-point Model (2015, methodology): “The Dirichlet process prior is first proposed by Ferguson (1973). He derives the Dirichlet process prior as the prior on the unknown probability measure space with respect to some measurable space (Ω,F).”
Dealing with Structural Breaks (2005, background): “Chong (2001) considered an AR(1) model where the autoregressive coefficient takes a value less than one before some break date and value one after, or vice versa.”