Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The Unit-Root Information Criterion
Jönköping University, Jönköping International Business School, JIBS, Economics.
2019 (English)Conference paper, Oral presentation with published abstract (Other academic)
Abstract [en]

This paper presents an information criterion, referred to as the unit-root information criterion (URIC), that is developed for considering model selection between models with and without a unit root. It is based on small-sample adjustments to the penalty term of the Bayesian information criterion (BIC) and is asymptotically equivalent to BIC. The development of URIC is based on maximizing the frequency of choosing a stationary or trend stationary model when there is no unit root, for given implicit sizes (the frequency of choosing a stationary or trend stationary model when there is a unit root). The implicit sizes for URIC regardless of trend are designed to follow those of BIC when there is no trend allowed. When the sample size (after adjusting for lags and first-differencing) is 100 or more and Gaussian errors are used, URIC appears to have reasonable implicit size and power properties in comparison to hypothesis testing using some traditional unit root test. A demonstration of the use of URIC with various real-world datasets is also provided.

Place, publisher, year, edition, pages
2019.
Keywords [en]
Unit Root, Stationary, Model Selection, Information Criteria
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-47311OAI: oai:DiVA.org:hj-47311DiVA, id: diva2:1384435
Conference
Stochastic and Computational Finance, UAE University in Al Ain, UAE on February 20-21, 2019.
Note

The conference is denoted as a workshop. The publication of the abstracts was simply through a book of abstracts provided at the workshop. 

Available from: 2020-01-09 Created: 2020-01-09 Last updated: 2020-01-10Bibliographically approved

Open Access in DiVA

No full text in DiVA

Authority records BETA

Hacker, R. Scott

Search in DiVA

By author/editor
Hacker, R. Scott
By organisation
JIBS, Economics
Economics

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
Total: 6 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf