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Semiparametric cointegrating rank selection

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  • Xu Cheng
  • P eter C. B. Phillips

Abstract

. The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the specification of a full model, is convenient for practical implementation in empirical work, and is sympathetic with semiparametric estimation approaches to co-integration analysis. Some simulation results on the finite sample performance of the criteria are reported. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009

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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 12 (2009)
Issue (Month): s1 (01)
Pages: S83-S104

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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s83-s104

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References

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  1. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, Econometric Society, vol. 66(6), pages 1299-1326, November.
  2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  3. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics, Boston College Department of Economics 519, Boston College Department of Economics.
  4. Wang, Zijun & Bessler, David A., 2005. "A Monte Carlo Study On The Selection Of Cointegrating Rank Using Information Criteria," Econometric Theory, Cambridge University Press, vol. 21(03), pages 593-620, June.
  5. Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, Econometric Society, vol. 64(2), pages 381-412, March.
  6. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 140(2), pages 919-947, October.
  7. Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Papers 2001-W10, Economics Group, Nuffield College, University of Oxford.
  8. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, Econometric Society, vol. 64(4), pages 763-812, July.
  9. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 283-306, March.
  10. Kapetanios, George, 2004. "The Asymptotic Distribution Of The Cointegration Rank Estimator Under The Akaike Information Criterion," Econometric Theory, Cambridge University Press, vol. 20(04), pages 735-742, August.
  11. Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1047, Cowles Foundation for Research in Economics, Yale University.
  12. John C. Chao & Peter C.B. Phillips, 1997. "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1155, Cowles Foundation for Research in Economics, Yale University.
  13. Peter C.B. Phillips, 2008. "Unit Root Model Selection," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1653, Cowles Foundation for Research in Economics, Yale University.
  14. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
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Cited by:
  1. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(3), pages 589-612.
  2. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers, Department of Economics, University of Missouri 0810, Department of Economics, University of Missouri, revised 20 Jan 2009.
  3. Seong, Byeongchan, 2013. "Semiparametric selection of seasonal cointegrating ranks using information criteria," Economics Letters, Elsevier, vol. 120(3), pages 592-595.
  4. Peter C.B. Phillips & Zhipeng Liao, 2012. "Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1871, Cowles Foundation for Research in Economics, Yale University.
  5. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2010. "Forecasting with Factor-augmented Error Correction," Discussion Papers, Department of Economics, University of Birmingham 09-06r, Department of Economics, University of Birmingham.
  6. Zhipeng Liao & Peter C.B. Phillips, 2012. "Automated Estimation of Vector Error Correction Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1873, Cowles Foundation for Research in Economics, Yale University.
  7. Cheng, Xu & Phillips, Peter C.B., 2012. "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, Elsevier, vol. 169(2), pages 155-165.
  8. Peter C.B. Phillips & Ji Hyung Lee, 2012. "VARs with Mixed Roots Near Unity," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1845, Cowles Foundation for Research in Economics, Yale University.

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