Estimating the Number of Unit Roots. A Multiple Decision Approach

Robert Kunst ()

No 16, Economics Series from Institute for Advanced Studies

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.

Keywords: Multiple Decision; Unit Roots; Autoregressive Processes (search for similar items in EconPapers)
JEL-codes: C22 C32 C49 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1995-10
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https://irihs.ihs.ac.at/id/eprint/862 First version, 1995 (application/pdf)

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