Deciding between I(1) and I(0)

DOI10.1016/0304-4076(93)01562-ZzbMath0814.62080OpenAlexW2136319976MaRDI QIDQ1341206

James H. Stock

Publication date: 18 June 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01562-z

zbMATH Keywords

model selectiontime seriesintegrationunit rootsdetrendingBayes ratioslinear detrendingpiecewise-linear detrendingstochastic component

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (14)

MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY ⋮ Deciding between I(1) and I(0) ⋮ A Strongly Consistent Criterion to Decide Between I(1) and I(0) Processes Based on Different Convergence Rates ⋮ Bayesian model selection for unit root testing with multiple structural breaks ⋮ Testing of unit root and other nonstationary hypotheses in macroeconomic time series ⋮ Testing for stationarity in series with a shift in the mean. A Fredholm approach ⋮ Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors ⋮ Pfriodograms of unit root time series: distributions and tests ⋮ Nonlinear error correction models ⋮ THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES ⋮ Local Asymptotic Distributions of Stationarity Tests ⋮ Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models ⋮ Testing for strict stationarity in a random coefficient autoregressive model ⋮ Some results on testing for stationarity using data detrended in differences

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