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...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2008
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| 在線閱讀: | 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 |
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