DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
- 1 October 1999
- journal article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 15 (5) , 643-663
- https://doi.org/10.1017/s0266466699155014
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.Keywords
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