Hiernaux, Alfredo Garcia; Jerez, Miguel; Casals, José - Facultad de Ciencias Económicas y Empresariales, … - 2005
We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, which loss functions can be adapted to the...