Transcription of When is a Time Series I(0)? - Exeter
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When is a Time Series I(0)? - Exeter
when is a time Series I(0)? James Davidsony University of Exeter Forthcoming in The Methodology and Practice of Econometrics, a festschrift for David F. Hendry, Eds. Jennifer Castle and Neil Shepherd, Oxford University Press. Abstract This paper surveys the extensive recent literature on the problems of deciding what is meant by an I(0) process, and then deciding how to test for the property. A formidable di culty exists in the construction of consistent and asymptotically correctly sized tests for the I(0) hypothesis, and this may appear to place a question mark over the validity of a large area of econometric theory and practice. To overcome these di culties in practical applications, the paper proposes that a slightly di erent question needs to be posed, relating to the adequacy of approximation to asymptotic inference criteria in nite samples.
When is a Time Series I(0)? James Davidsony University of Exeter Forthcoming in The Methodology and Practice of Econometrics, a festschrift for David F.
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