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Semiparametric cointegrating rank selection

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Author Info
Xu Cheng
P eter C. B. Phillips

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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 © The Author(s). Journal compilation © Royal Economic Society 2009

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2008.00270.x
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Publisher 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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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
  2. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, 07. [Downloadable!] (restricted)
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  3. Phillips, Peter C B, 1996. "Econometric Model Determination," Econometrica, Econometric Society, vol. 64(4), pages 763-812, July. [Downloadable!] (restricted)
  4. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March. [Downloadable!] (restricted)
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  5. Giuseppe Cavaliere, 2003. "Unit root tests under time-varyng variances," Quaderni di Dipartimento 2, Department of Statistics, University of Bologna. [Downloadable!]
  6. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-78, September. [Downloadable!] (restricted)
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  7. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October. [Downloadable!] (restricted)
  8. Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, vol. 64(2), pages 381-412, March. [Downloadable!] (restricted)
  9. Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Papers 2001-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2009. "Forecasting with Factor-Augmented Error Correction Models," Discussion Papers 09-06, Department of Economics, University of Birmingham. [Downloadable!]
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  2. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation, Yale University. [Downloadable!]
  3. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers 0810, Department of Economics, University of Missouri, revised 20 Jan 2009. [Downloadable!]
    Other versions:
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