"Practical Unit-Root Analysis Using Information Criteria " by Kosei Fukuda
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Abstract

The information-criterion-based model selection method for detecting a unit root is proposed. The simulation results suggest that the performances of the proposed method are usually comparable to and sometimes better than those of the conventional unit-root tests. The advantages of the proposed method in practical applications are also discussed.

DOI

10.22237/jmasm/1177993380

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