From The Unit Root Process To The Stationary Process Of Statistical Inference

This paper revisits an AR(1) model which is similar to that in Chong(2001) by incorporating a possible structural break in the AR parameter. Specifically, we study the case where the AR parameter β changes from β1 to |β2|< 1. The first chapter introduces some histories of AR(1)model and the development of structural break in literature. The second chapter introduces the model studied in this paper and offers our theoretical results. The third chapter includes three parts:the least squares estimator of β, the convergence rate for β, the t statistics for the hypothesis testing for β.