Publication Type
Journal Article
Publication Date
2008
Abstract
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 Cn?? and Cn/n?0 as n??. Strong consistency holds when Cn/(log logn)3?? 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.
Keywords
AIC, consistency, model selection, nonparametric, unit root.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of the Japan Statistical Society
Volume
38
Issue
1
First Page
65
Last Page
74
ISSN
1882-2754
Identifier
10.14490/jjss.38.65
Publisher
Japan Statistical Society
Citation
PHILLIPS, Peter C. B..
Unit Root Model Selection. (2008). Journal of the Japan Statistical Society. 38, (1), 65-74.
Available at: https://ink.library.smu.edu.sg/soe_research/541
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.14490/jjss.38.65