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Estimating the Number of Unit Roots. A Multiple Decision Approach

Author

Listed:
  • Kunst, Robert M.

    (Department of Economics, Institute for Advanced Studies, Vienna)

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.

Suggested Citation

  • Kunst, Robert M., 1995. "Estimating the Number of Unit Roots. A Multiple Decision Approach," Economics Series 16, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:16
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    File URL: https://irihs.ihs.ac.at/id/eprint/862
    File Function: First version, 1995
    Download Restriction: no
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    More about this item

    Keywords

    Multiple Decision; Unit Roots; Autoregressive Processes;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

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