Deciding Between I(1) and I(0)
AbstractThis paper proposes a class of procedures that consistently classify the stochastic component of a time series as being integrated either of order zero (l(0» or one (l(1» for general 1(0) and 1(1) processes. These procedures entail the evaluation of the asymptotic likelihoods of certain statistics under the 1(0)and 1(1) hypotheses. These likelihoods do not depend on nuisance parameters describing short-run dynamics and diverge asymptotically, so their ratio provides a consistent basis for classifying a process as 1(1) or 1(0). Bayesian inference can be performed by placing prior mass only on the point hypotheses "1(0)" and "1(1)" without needing to specify parametric priors within the classes of 1(0) and 1(1) processes; the result is posterior odds ratios for the 1(0) and 1(1) hypotheses. These procedures are developed for general polynomial and piecewise linear detrending. When applied to the Nelson-Plosser data with linear detrending, they largely support the original Nelson-Plosser inferences. With piecewise-linear detrending these data are typically uninformative, producing Bayes factors that are close to one.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0121.
Date of creation: Jun 1992
Date of revision:
Publication status: published as Journal of Econometrics, vol. 63 (1994) pp 105-131.
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Web page: http://www.nber.org
More information through EDIRC
Other versions of this item:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws041104, Universidad Carlos III, Departamento de Estadística y Econometría.
- María Presno & Anna López, 2003. "Testing for stationarity in series with a shift in the mean. A fredholm approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 12(1), pages 195-213, June.
- Blomqvist, A.G. & Carter, R.A.L., 1993.
"Is Health Care Really a Luxury?,"
UWO Department of Economics Working Papers, University of Western Ontario, Department of Economics
9311, University of Western Ontario, Department of Economics.
- Umino, Shingo, 2014. "Real-time estimation of the equilibrium real interest rate: Evidence from Japan," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 28(C), pages 17-32.
- Kramer, Walter & Davies, Laurie, 2002.
"Testing for unit roots in the context of misspecified logarithmic random walks,"
Economics Letters, Elsevier,
Elsevier, vol. 74(3), pages 313-319, February.
- Krämer, Walter & Davies, Laurie, 2000. "Testing for unit roots in the context of misspecified logarithmic random walks," Technical Reports 2000,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Chen, Pei-Fen & Chien, Mei-Se & Lee, Chien-Chiang, 2011. "Dynamic modeling of regional house price diffusion in Taiwan," Journal of Housing Economics, Elsevier, Elsevier, vol. 20(4), pages 315-332.
- Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, Elsevier, vol. 80(2), pages 241-268, October.
- Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de EstadÃstica y EconometrÃa ws031126, Universidad Carlos III, Departamento de Estadística y Econometría.
- Nunzio Cappuccio & Diego Lubian, 2003. "Asymptotic null distributions of stationarity and nonstationarity," Working Papers, University of Verona, Department of Economics 8, University of Verona, Department of Economics.
- Nunzio Cappuccio & Diego Lubian, 2007. "Asymptotic Null Distributions of Stationarity and Nonstationarity Tests Under Local-to-finite Variance Errors," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 59(3), pages 403-423, September.
- Pascalau, Razvan, 2008.
"Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set,"
7220, University Library of Munich, Germany.
- Razvan Pascalau, 2010. "Unit root tests with smooth breaks: an application to the Nelson-Plosser data set," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(6), pages 565-570.
- Ahn & Byung Chul, 1994. "Testing the null of stationarity in the presence of structural breaks for multiple time series," Econometrics, EconWPA 9411001, EconWPA, revised 08 Nov 1994.
- Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series, Institute for Advanced Studies 177, Institute for Advanced Studies.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.