This paper studies large sample properties of a moderately explosive autoregression with a structural change in the unobservable drift term, and develops asymptotic tests for the null of moderate explosiveness under different dependence structures. When the innovation sequence is independently and identically distributed (i.i.d.), we show that the t statistic is asymptotically standard normal. When the innovations are weakly dependent in the form of homoskedasticity or conditional heteroskedasticity, we invoke the fixed-smoothing asymptotics to construct the heteroskedasticity and autocorrelat...
