Arbeitspapier
Unit roots, change, and decision bounds
The problem of optimal decision among unit roots, trend stationarity, and trend stationarity with structural breaks is considered. Each class is represented by a hierarchically random process whose parameters are distributed in a non-informative way. The prior frequency for all three processes is the same. Observed trajectories are classified by two information condenser statistics zeta1 and zeta2. zeta1 is the traditional Dickey-Fuller t-test statistic that allows for a linear trend. zeta2 is a heuristic statistic that condenses information on structural breaks. Two loss functions are considered for determining decision contours within the (zeta1, zeta2) space. Whereas quadratic discrete loss expresses the interest of a researcher attempting to find out the true model, prediction error loss expresses the interest of a forecaster who sees models as intermediate aims. For both loss functions and the empirically relevant sample sizes of T=50, 100, 150, 200, optimal decision contours are established by means of Monte Carlo simulation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 58
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Operations Research; Statistical Decision Theory
- Thema
-
time series
integrated processes
structural breaks
loss
function
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kunst, Robert M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
1998
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kunst, Robert M.
- Institute for Advanced Studies (IHS)
Entstanden
- 1998
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