Abstract #301825

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JSM 2003 Abstract #301825
Activity Number: 328
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #301825
Title: A Criterion to Determine Unit Roots Based on the Rate of Covnergence of the Least Squares Estimator of an Autoregression
Author(s): Victor Gomez*+
Companies: INE
Address: Avda De San Luis 142, 2-A, Madrid, , 28033, Spain
Keywords: unit root tests ; GLS de-trending ; least squares estimator ; strong consistency ; information criteria ; nonstationarity
Abstract:

The usual procedure to determine whether a univariate time series is I(1) or I(0) is to perform some unit root test. In this article, an alternative methodology is presented that leads to a strongly consistent criterion to estimate the number of unit roots. The criterion is based on the different rates of convergence of the stationary and nonstationary roots of the least squares estimatoer of an autoregressive polynomial. The procedure is easy to implement,and a simulation study demonstrates that it can perform better in practice than the Dickey-Fuller and the GLS de-trended Dickey-Fuller tests.

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