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The Asymptotic Distribution Of The Cointegration Rank Estimator Under The Akaike Information Criterion

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  • Kapetanios, George

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  • 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.
  • Handle: RePEc:cup:etheor:v:20:y:2004:i:04:p:735-742_20
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    1. J. FAN & Wolfgang HÄRDLE & Enno MAMMEN, 1996. "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers 1996,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Härdle, W.K. & Mammen, E. & Müller, M.D., 1996. "Testing Parametric versus Semiparametric Modelling in Generalized Linear Models," Discussion Paper 1996-42, Tilburg University, Center for Economic Research.
    3. Michael C. Burda & Wolfgang Härdle & Marlene Müller & Axel Werwatz, 1998. "Semiparametric analysis of German East-West migration intentions: facts and theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 525-541.
    4. HÄRDLE, Wolfgang & DIAS PROENCA, sabel M., 1993. "A Bootstrap Test for Single Index Models," CORE Discussion Papers 1993025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Oliver Linton & E. Mammen & J. Nielsen, 1997. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers 1160, Cowles Foundation for Research in Economics, Yale University.
    6. (ed.), 1992. "Index," Books, Edward Elgar Publishing, number 1241, April.
    7. Stefan Sperlich & Oliver Linton & Wolfgang Härdle, 1999. "Integration and backfitting methods in additive models-finite sample properties and comparison," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 419-458, December.
    8. Fuss, Melvyn & McFadden, Daniel & Mundlak, Yair, 1978. "A Survey of Functional Forms in the Economic Analysis of Production," Histoy of Economic Thought Chapters,in: Fuss, Melvyn & McFadden, Daniel (ed.), Production Economics: A Dual Approach to Theory and Applications, volume 1, chapter 4 McMaster University Archive for the History of Economic Thought.
    9. Burda, Michael C., 1993. "The determinants of East-West German migration: Some first results," European Economic Review, Elsevier, vol. 37(2-3), pages 452-461, April.
    10. Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
    11. Wolfgang HÄRDLE & V. SPOKOINY & S. SPERLICH, 1995. "Semiparametric Single Index Versus Fixed Link Function Modelling," SFB 373 Discussion Papers 1995,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    12. Deaton,Angus & Muellbauer,John, 1980. "Economics and Consumer Behavior," Cambridge Books, Cambridge University Press, number 9780521296762, March.
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    Cited by:

    1. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
    2. Xu Cheng & P eter C. B. Phillips, 2009. "Semiparametric cointegrating rank selection," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 83-104, January.
    3. Badi Baltagi & Zijun Wang, 2007. "Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets," Empirical Economics, Springer, pages 41-49.
    4. Miller, J. Isaac & Ratti, Ronald A., 2009. "Crude oil and stock markets: Stability, instability, and bubbles," Energy Economics, Elsevier, vol. 31(4), pages 559-568, July.
    5. Li, Qiaoling & Pan, Jiazhu & Yao, Qiwei, 2009. "On determination of cointegration ranks," LSE Research Online Documents on Economics 24106, London School of Economics and Political Science, LSE Library.
    6. Maxym Chaban, 2010. "Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 3023-3037.
    7. Seong, Byeongchan, 2013. "Semiparametric selection of seasonal cointegrating ranks using information criteria," Economics Letters, Elsevier, vol. 120(3), pages 592-595.
    8. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.

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