Research Repository

Deterministic Parameter Change Models in Continuous and Discrete Time

Chambers, Marcus J and Taylor, AM Robert (2019) 'Deterministic Parameter Change Models in Continuous and Discrete Time.' Journal of Time Series Analysis. ISSN 0143-9782

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We consider a model of deterministic one-time parameter change in a continuous time autoregressive model around a deterministic trend function. The exact discrete time analogue model is detailed and compared to corresponding parameter change models adopted in the discrete time literature. The relationships between the parameters in the continuous time model and the discrete time analogue model are also explored. Our results show that the discrete time models used in the literature can be justified by the corresponding continuous time model, with a only a minor modification needed for the (most likely) case where the changepoint does not coincide with one of the discrete time observation points. The implications of our results for a number of extant discrete time models and testing procedures are discussed.

Item Type: Article
Uncontrolled Keywords: Parameter change, continuous and discrete time, autoregression, trend break, unit root, persistence change, explosive bubbles
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Faculty of Social Sciences > Economics, Department of
Depositing User: Elements
Date Deposited: 14 Feb 2019 13:28
Last Modified: 12 Mar 2020 02:00

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