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.
"Practical Unit-Root Analysis Using Information Criteria: Simulation Evidence,"
Journal of Modern Applied Statistical Methods:
1, Article 24.
Available at: http://digitalcommons.wayne.edu/jmasm/vol6/iss1/24