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

Published online by Cambridge University Press:  01 October 1999

Valentina Corradi
Affiliation:
University of London

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
Copyright
© 1999 Cambridge University Press

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