When is a Time Series I(0)

@inproceedings{Davidson2008WhenIA,
  title={When is a Time Series I(0)},
  author={James N. Davidson},
  year={2008}
}
This paper 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 di¢culty 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 di¢culties in practical applications, the paper proposes that a slightly di… CONTINUE READING

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