Specification via model selection in vector error correction models
AbstractThis paper proposes a model selection approach for the specification of the cointegrating rank in the VECM representation of VAR models. Asymptotic properties of estimates are derived and their features compared with the traditional likelihood ratio based approach.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 60 (1998)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Gonzalo, Jesús & Pitarakis, Jean-Yves, . "Specification via model selection in vector error correction models," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/754, Universidad Carlos III de Madrid.
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.:
- Gonzalo, Jesús & Pitarakis, Jean-Yves, .
"Lag length estimation in large dimensional systems,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/765, Universidad Carlos III de Madrid.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, EconWPA.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108002, EconWPA.
- GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994.
"Comovements in Large Systems,"
CORE Discussion Papers
1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gonzalo, Jesús & Pitarakis, Jean-Yves, . "Comovements in large systems," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/5825, Universidad Carlos III de Madrid.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
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