A New Criterion for Lag-Length Selection in Unit Root Tests
نویسندگان
چکیده
منابع مشابه
Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power
It is widely known that when there are errors with a moving-average root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We consider a class of Modified Information Criteria (MIC) with a penalty factor that is sample dependent. ...
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ژورنال
عنوان ژورنال: American Journal of Theoretical and Applied Statistics
سال: 2013
ISSN: 2326-8999
DOI: 10.11648/j.ajtas.20130206.28