DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS

DOI10.1017/S0266466699155014zbMATH0962.62082MaRDI QIDQ4512705FDOQ4512705

Authors Valentina Corradi

Publication date 6 February 2001

Published in Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

strong consistencytime serieslong-run variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15)

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Cited in

(10)

• Bounds for inference with nuisance parameters present only under the alternative
• Predictive ability tests with possibly overlapping models
• A strongly consistent criterion to decide between I(1) and I(0) processes based on different convergence rates
• THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
• Deciding between GARCH and stochastic volatility via strong decision rules
• Testing for common breaks in a multiple equations system
• Inference on factor structures in heterogeneous panels
• Testing for strict stationarity in a random coefficient autoregressive model
• Predictive density and conditional confidence interval accuracy tests
• Strong rules for detecting the number of breaks in a time series

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