Tao, Yubo; Yu, Jun - In: Essays in honor of Cheng Hsiao, (pp. 73-103). 2020
This chapter examines the limit properties of information criteria (such as AIC, BIC, and HQIC) for distinguishing between the unit-root (UR) model and the various kinds of explosive models. The explosive models include the local-to-unit-root model from the explosive side the mildly explosive...