Estimation of the variance function in structural break autoregressive models with nonstationary and explosive segments
(2022)
Journal Article
Harvey, D. I., Leybourne, S. J., & Zu, Y. (2023). Estimation of the variance function in structural break autoregressive models with nonstationary and explosive segments. Journal of Time Series Analysis, 44(2), 181-205. https://doi.org/10.1111/jtsa.12660
In this paper we consider estimating the innovation variance function when the conditional mean model is characterized by a structural break autoregressive model, which exhibits multiple unit root, explosive and stationary collapse segments, allowing... Read More about Estimation of the variance function in structural break autoregressive models with nonstationary and explosive segments.