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

DOI10.1080/03610918.2012.679760zbMath1301.62081MaRDI 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 estimator; nonstationarity; strong consistency; unit root tests; GLS detrending; Hannan-Rissanen procedure

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62M09: Non-Markovian processes: estimation

62M07: Non-Markovian processes: hypothesis testing

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