Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-09T16:08:37.911Z Has data issue: false hasContentIssue false
  • English
  • Français

DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS

Published online by Cambridge University Press:  01 October 1999

Valentina Corradi
Valentina Corradi
Affiliation:
University of London
Get access Rights & Permissions [Opens in a new window]

Abstract

We construct properly scaled functions of Rp-valued partial sums of demeaned data and derive bounds via the functional law of the iterated logarithm for strong mixing processes. If we obtain a value below or equal to the bound we decide in favor of I(0); otherwise we decide in favor of I(1). This provides a consistent rule for classifying time series as being I(1) or I(0). The nice feature of the procedure lies in the almost sure nature of the bound, guaranteeing a lim sup–type result. We finally provide conditions for the strong consistency of estimators of the variance in the dependent and heterogeneous case.

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 5 , October 1999 , pp. 643 - 663
Copyright
© 1999 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)