Estimating the Number of Unit Roots: A Multiple Decision Approach

Kunst, Robert M.ORCID: (October 1995) Estimating the Number of Unit Roots: A Multiple Decision Approach. Former Series > Working Paper Series > IHS Economics Series 16


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Abstract: The problem of detecting unit roots in univariate and multivariate time series data is treated as a problem of multiple decisions instead of a testing problem, as is otherwise common in the econometric and statistical literature. Four examples for such multiple decision designs are considered: first- and second-order integrated univariate processes; conintegration in a bivariate model; seasonal integration for semester data; seasonal integration for quarterly data. In all cases, restrictedly optimum decision rules are found for finite samples based on Monte Carlo simulation.;

Item Type: IHS Series
Keywords: 'Multiple Decision' 'Unit Roots' 'Autoregressive Processes'
Classification Codes (e.g. JEL): C22, C32, C49
Date Deposited: 26 Sep 2014 10:36
Last Modified: 08 Apr 2024 13:46

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