“…The intercept c t ( θ , θ 0 ) can be written in the form For convenience we write ψ t , i ( θ , θ 0 ) = 0 and ϕ t , i ( θ , s t , …, s t − i +1 ) = 0 for i ≥ t . Explicit forms of the ψ t , i ( θ , θ 0 )s and c t ( θ , θ 0 )s can be found in Francq and Gautier (2003). For instance, in the time‐varying MA(1) case, we have In the time‐varying AR(1) case, we have …”