Chapter

Viewing the Discrimination as a Model Selection Problem Including Deterministic Trends

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI: http://dx.doi.org/10.1093/0198773536.003.0008

Series: Advanced Texts in Econometrics

 Viewing the Discrimination as a Model Selection Problem Including Deterministic Trends

More Like This

Show all results sharing this subject:

  • Econometrics and Mathematical Economics

GO

Show Summary Details

Preview

The discrimination between trend stationarity (TS) and difference stationarity (DS) depends on the valid selection of models for deterministic trends. This chapter introduces polynomial trends and linear trends with intercept and slope changes. The encompassing theory in Mizon (1984) and Mizon and Richard (1986) is extended into a comparison of P-values to test for DS against TS, and TS against DS. Simulation results are presented to investigate the separability of DS and TS models and the fairness of the comparison.

Keywords: deterministic trends; trend stationarity; difference stationarity; econometrics; model selection

Chapter.  8558 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

Full text: subscription required

How to subscribe Recommend to my Librarian

Buy this work at Oxford University Press »

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.