Unit Root Model Selection
Some 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.
|Date of creation:||May 2008|
|Date of revision:|
|Publication status:||Published in Journal of the Japan Statistical Society (2008), 38(1): 65-74|
|Contact details of provider:|| Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA|
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.yale.edu/
More information through EDIRC
|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July.
- Bent Nielsen, 2001.
"Order determination in general vector autoregressions,"
2001-W10, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Series Working Papers 2001-W10, University of Oxford, Department of Economics.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometric Society, vol. 55(2), pages 277-301, March.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
- Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, vol. 64(2), pages 381-412, March.
- Lai, T. L. & Wei, C. Z., 1982. "Asymptotic properties of projections with applications to stochastic regression problems," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 346-370, September.
- Jae-Young Kim, 1998. "Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models," Econometrica, Econometric Society, vol. 66(2), pages 359-380, March.
When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1653. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Glena Ames)
If references are entirely missing, you can add them using this form.