Model selection for explosive models
This chapter examines the limit properties of information criteria (such as AIC, BIC, and HQIC) for distinguishing between the unit-root (UR) model and the various kinds of explosive models. The explosive models include the local-to-unit-root model from the explosive side the mildly explosive (ME) m...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2431 https://ink.library.smu.edu.sg/context/soe_research/article/3430/viewcontent/Explosive_Model_Selection_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |