Unit Root Model Selection
AbstractSome limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient C_n -> infinity and C_n/n -> 0 as n -> infinity. Strong consistency holds when C_n/(loglog n)^3 -> infinity under conventional assumptions on initial conditions and under a slightly stronger condition when initial conditions are infinitely distant in the unit root model. The limit distribution of the AIC criterion is obtained.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1653.
Length: 14 pages
Date of creation: May 2008
Date of revision:
Publication status: Published in Journal of the Japan Statistical Society (2008), 38(1): 65-74
Note: CFP 1231.
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Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-24 (All new papers)
- NEP-ECM-2008-05-24 (Econometrics)
- NEP-ETS-2008-05-24 (Econometric Time Series)
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