Unit Root Model Selection

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...

Full description

Saved in:
Bibliographic Details
Main Author: PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
AIC
consistency
model selection
nonparametric
unit root.
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/541
https://ink.library.smu.edu.sg/context/soe_research/article/1540/viewcontent/10.1.1.414.7670.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.soe_research-1540
record_format dspace
spelling sg-smu-ink.soe_research-15402018-06-01T03:19:15Z Unit Root Model Selection PHILLIPS, Peter C. B. 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. 2008-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/541 info:doi/10.14490/jjss.38.65 https://ink.library.smu.edu.sg/context/soe_research/article/1540/viewcontent/10.1.1.414.7670.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University AIC consistency model selection nonparametric unit root. Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic AIC
consistency
model selection
nonparametric
unit root.
Econometrics
spellingShingle AIC
consistency
model selection
nonparametric
unit root.
Econometrics
PHILLIPS, Peter C. B.
Unit Root Model Selection
description 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.
format text
author PHILLIPS, Peter C. B.
author_facet PHILLIPS, Peter C. B.
author_sort PHILLIPS, Peter C. B.
title Unit Root Model Selection
title_short Unit Root Model Selection
title_full Unit Root Model Selection
title_fullStr Unit Root Model Selection
title_full_unstemmed Unit Root Model Selection
title_sort unit root model selection
publisher Institutional Knowledge at Singapore Management University
publishDate 2008
url https://ink.library.smu.edu.sg/soe_research/541
https://ink.library.smu.edu.sg/context/soe_research/article/1540/viewcontent/10.1.1.414.7670.pdf
_version_ 1770569208138039296

Similar Items