Article ID Journal Published Year Pages File Type
4635920 Applied Mathematics and Computation 2006 4 Pages PDF
Abstract
A unit root is detected using the values of the Bayesian information criterion (BIC) of a battery of alternative models with and without a unit root. ARMA(1, 1)-based simulation results suggest that the proposed method generally outperforms influential unit-root tests except in the case of a small sample size with a large negative MA(1) parameter.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
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