BIC-based unit-root detection: simulation-based evidence

DOI10.1016/j.amc.2006.05.110zbMath1104.65300MaRDI QIDQ864807

Kosei Fukuda

Publication date: 13 February 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.05.110

zbMATH Keywords

model selection; numerical examples; hypothesis testing; Bayesian information criterion; unit root; BIC

Mathematics Subject Classification ID

62F05: Asymptotic properties of parametric tests

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