On the record properties of integrated time series

Felipe M. Aparicio

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper compares the statistical properties of the records from i.i.d. time series with those of time series containing a single unit root. It is shown that there are important differences in both the limiting distributions and the convergence rates of the associated record counting processes. Since the record properties of i.i.d. time series are shared by a large class of stationary time series, the reported differences underline the possibility of using record-based statistics for robust resting procedures of the unit root hypothesis.

Date: 2003-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws036414

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