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Order determination in general vector autoregressions

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Author Info
Bent Nielsen () (Nuffield College, Oxford)

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Abstract

In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. It is shown that these methods can be used regardless of the assumption to the characteristic roots.

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File URL: http://www.nuff.ox.ac.uk/Economics/papers/2001/w10/NielsenOrder.pdf
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Publisher Info
Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W10.

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Length: 14 pages
Date of creation: 12 Jul 2001
Date of revision:
Handle: RePEc:nuf:econwp:0110

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Web page: http://www.nuff.ox.ac.uk/economics/

For technical questions regarding this item, or to correct its listing, contact: (Catherine McNeill).

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This paper has been announced in the following NEP Reports: Cited by:
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  1. Peter C.B. Phillips, 2008. "Unit Root Model Selection," Cowles Foundation Discussion Papers 1653, Cowles Foundation, Yale University. [Downloadable!]
  2. Bent Nielsen & Eric Engler, 2007. "The empirical process of autoregressive residuals," Economics Papers 2007-W01, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  3. Xu Cheng & Peter C.B. Phillips, 2008. "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers 1658, Cowles Foundation, Yale University. [Downloadable!]
  4. Bent Nielsen, 2005. "Analysis of co-explosive processes," Economics Papers 2005-W08, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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This page was last updated on 2008-11-3.

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