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

DOI10.1017/S0266466699155014MaRDI QIDQ4512705zbMATH OpenFDO

Authors Valentina Corradi

Publication date 6 February 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466699155014

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)

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

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