Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4635920 | Applied Mathematics and Computation | 2006 | 4 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Kosei Fukuda,