Semiparametric selection of seasonal cointegrating ranks using information criteria
We consider the use of information criteria (IC) on the basis of a semiparametric seasonal error correction model for selecting seasonal cointegrating ranks. Some limit properties of the IC are considered and, through a small Monte Carlo simulation, we evaluate the performance of the IC.
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- Byeongchan Seong & Sinsup Cho & Sung K. Ahn, 2006. "Maximum Eigenvalue Test for Seasonal Cointegrating Ranks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(4), pages 497-514, 08.
- Byeongchan Seong, 2013. "Bootstrap test for seasonal cointegrating ranks," Applied Economics Letters, Taylor & Francis Journals, vol. 20(2), pages 147-151, February.
- 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.
- Xu Cheng & P eter C. B. Phillips, 2009.
"Semiparametric cointegrating rank selection,"
Royal Economic Society, vol. 12(s1), pages 83-104, 01.
- Xu Cheng & Peter C.B. Phillips, 2008. "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers 1658, Cowles Foundation for Research in Economics, Yale University.
- Cubadda, Gianluca, 2001. " Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September.
- Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society.
- 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. Full references (including those not matched with items on IDEAS)
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