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The Methodology and Practice of EconometricsA Festschrift in Honour of David F. Hendry$
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Jennifer Castle and Neil Shephard

Print publication date: 2009

Print ISBN-13: 9780199237197

Published to Oxford Scholarship Online: September 2009

DOI: 10.1093/acprof:oso/9780199237197.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2020. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 25 November 2020

When is a Time‐Series I(0)? *

When is a Time‐Series I(0)? *

Chapter:
(p.322) 13 When is a Time‐Series I(0)?*
Source:
The Methodology and Practice of Econometrics
Author(s):

James Davidson

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199237197.003.0013

This chapter 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 difficulty 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 difficulties in practical applications, the chapter proposes that a slightly different question needs to be posed, relating to the adequacy of approximation to asymptotic inference criteria in finite samples. A simulation-based test, aimed at discriminating between data sets on this basis, is examined in a Monte Carlo experiment.

Keywords:   integration, cointegration, short memory, long memory, testing I(0), fingerprinting I(0), bootstrap

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