Model selection for explosive models

• Main Authors: TAO, Yubo, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Model Selection; Information Criteria; Local-to-unit-root Model; Mildly Explosive Model; Unit Root Model; Indirect Inference.; Econometrics; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/1801; https://ink.library.smu.edu.sg/context/soe_research/article/2800/viewcontent/P_ID_52783_06_2016.pdf
• Institution: Singapore Management University

This paper examines the limit properties of information criteria for distinguishing between the unit root model and the various kinds of explosive models. The information criteria include AIC, BIC, HQIC. The explosive models include the local-to-unit-root model, the mildly explosive model and the re...