Alternative lag length selection criteria and the split-trend stationarity hypothesis

References

• Akaike , H. 1974 . A new look at statistical model selection . IEEE Transactions on Automatic Control , 19 : 716 – 723 .
   Web of Science ®Google Scholar
• Banerjee , A. , Lumsdaine , R. L. and Stock , J. H. 1992 . Recursive and sequential tests of the unit root and trend break hypotheses: theory and international evidence . Journal of Business and Economic Statistics , 10 : 271 – 287 .
   Web of Science ®Google Scholar
• Campbell , J. Y. and Perron , P. 1991 . “ Pitfalls and opportunities: what macroeconomists should know about unit roots ” . In NBER Macroeconomics Annual , Edited by: Blanchard , O. J. and Fischer , S. 141 – 201 . Cambridge, MA : MIT Press .
   Google Scholar
• Dickey , D. A. and Fuller , W. 1979 . Distribution of the estimators for autoregressive time series with a unit Root . Journal of the American Statistical Association , 74 : 427 – 431 .
   Web of Science ®Google Scholar
• Friedman , M. 1990 . The crime of 1873 . Journal of Political Economy , 98 : 1159 – 1194 .
   Web of Science ®Google Scholar
• Hall , A. 1994 . Testing for a unit root in time series with pretest data-based model selection . Journal of Business and Economic Statistics , 12 : 461 – 470 .
   Web of Science ®Google Scholar
• Nelson , C. R. and Murray , C. 1997 . The uncertain trend in US GNP , University of Washington . Unpublished working paper
   Google Scholar
• Nelson , C. R. and Plosser , C. 1982 . Trends and random walks in macroeconomic time series . Journal of Monetary Economics , 10 : 139 – 162 .
   Web of Science ®Google Scholar
• Ng , S. and Perron , P. 1995 . Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag . Journal of the American Statistical Association , 90 : 268 – 281 .
   Web of Science ®Google Scholar
• Perron , P. 1989 . The great crash, the oil price shock, and the unit root hypothesis . Econometrica , 57 : 1361 – 1401 .
   Web of Science ®Google Scholar
• Said , S. E. and Dickey , D. A. 1984 . Testing for unit roots in autoregressive-moving average models of unknown order . Biometrika , 71 : 599 – 607 .
   Web of Science ®Google Scholar
• Schwarz , G. 1978 . Estimating the dimension of a model . The Annals of Statistics , 6 : 461 – 464 .
   Web of Science ®Google Scholar
• Weber , C. 1998 . Data-dependent criteria for lag length selection in augmented Dickey-Fuller regressions: a Monte Carlo investigation , Seattle University . Unpublished working paper
   Google Scholar
• Zivot , E. and Andrews , D. W. K. 1992 . Further evidence on the great crash, the oil price shock, and the unit root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 270 .
   Web of Science ®Google Scholar