A Strongly Consistent Criterion to Decide Between I(1) and I(0) Processes Based on Different Convergence Rates

DOI10.1080/03610918.2012.679760zbMath1301.62081OpenAlexW2025381557MaRDI QIDQ5299927

Víctor Gómez

Publication date: 24 June 2013

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2012.679760

zbMATH Keywords

least squares estimatornonstationaritystrong consistencyunit root testsGLS detrendingHannan-Rissanen procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density

Cites Work

• Unnamed Item
• Order selection in nonstationary autoregressive models
• Estimating the dimension of a model
• Deciding between I(1) and I(0)
• Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method
• THE ASYMPTOTIC EFFICIENCY OF A LINEAR PROCEDURE OF ESTIMATION FOR ARMA MODELS
• Recursive estimation of mixed autoregressive-moving average order
• Integration Versus Trend Stationary in Time Series
• DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Efficient Tests for an Autoregressive Unit Root
• A new look at the statistical model identification

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