Unit Root Model Selection

Peter C. B. Phillips ()

No 1653, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient C_n -> infinity and C_n/n -> 0 as n -> infinity. Strong consistency holds when C_n/(loglog n)^3 -> infinity under conventional assumptions on initial conditions and under a slightly stronger condition when initial conditions are infinitely distant in the unit root model. The limit distribution of the AIC criterion is obtained.

Keywords: AIC; Consistency; Model selection; Nonparametric; Unit root (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2008-05
Note: CFP 1231.
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Published in Journal of the Japan Statistical Society (2008), 38(1): 65-74

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