The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Nov, 2001, Volume 69, Issue 6
https://doi.org/10.1111/1468-0262.00256
p. 1519-1554
Serena Ng, Pierre Perron
It is widely known that when there are errors with a moving‐average root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the and the tend to select a truncation lag () that is very small. We consider a class of Modified Information Criteria () with a penalty factor that is sample dependent. It takes into account the fact that the bias in the sum of the autoregressive coefficients is highly dependent on and adapts to the type of deterministic components present. We use a local asymptotic framework in which the moving‐average root is local to −1 to document how the performs better in selecting appropriate values of . In Monte‐Carlo experiments, the is found to yield huge size improvements to the and the feasible point optimal test developed in Elliott, Rothenberg, and Stock (1996). We also extend the tests developed in Perron and Ng (1996) to allow for detrending of the data. The along with detrended data yield a set of tests with desirable size and power properties.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
