Title

Unit Root Model Selection

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

Publisher

Japan Statistical Society

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://www.terrapub.co.jp/journals/jjss/pdf/3801/38010065.pdf

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