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http://dx.doi.org/10.5351/KJAS.2020.33.6.723

Discrimination between trend and difference stationary processes based on adaptive lasso  

Na, Okyoung (Department of Applied Statistics, Kyonggi University)
Publication Information
The Korean Journal of Applied Statistics / v.33, no.6, 2020 , pp. 723-738 More about this Journal
Abstract
In this paper, we study a method to discriminate between trend stationary and difference stationary processes. Since a crucial ingredient of this discrimination is to determine the existence of unit root, we can use a unit root testing strategy. So, we introduce a discrimination based on unit root testing and propose the method using the adaptive lasso. Our Monte Carlo simulation experiments show that the adaptive lasso improves the discrimination accuracy when the process is trend stationary, but has lower accuracy than unit root strategy where the process is difference stationary.
Keywords
trend stationary process; difference stationary process; unit root test; adaptive lasso;
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Times Cited By KSCI : 2  (Citation Analysis)
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