ON THE RECORD PROPERTIES OF INTEGRATED TIME SERIES

Abstract

This paper compares the statistical properties of the records from i.i.d. time series with those of time series containing a single unit root. It is shown that there are important differences in both the limiting distributions and the convergence rates of the associated record counting processes. Since the record properties of i.i.d. time series are shared by a large class of stationary time series, the reported differences underline the possibility of using record-based statistics for robust resting procedures of the unit root hypothesis.