Model selection for explosive models
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |