부산대학교 도서관

Abstract In the recent studies, it is seen that the Bridge estimator which penalizes the parameters using a shrinkage parameter is used for choosing the lag length of single unit root tests and parameter estimation. With this method, parameter estimation and model selection are made simultaneously. However, economic series can sometimes contain more than one unit root. Dickey and Pantula proposed a sequential test method to examine the presence of more than one unit root in the series. In this study, Bridge estimator is proposed to determine the integration order of series with more than one unit root. With a simulation study, Bridge estimator is compared with the Dickey–Pantula test in terms of determining the order of integration. The results are also supported with a real data analysis. Both simulation studies and applications show that Bridge estimator is a good alternative to Dickey–Pantula test in determining the integration order. Moreover, this method is based on the estimation of a single model, unlike the Dickey–Pantula test. [ABSTRACT FROM AUTHOR]