IDEAS home Printed from https://ideas.repec.org/p/cte/werepe/49894.html

Detecting Sparse Cointegration

Author

Listed:
  • Gonzalo, Jesús
  • Pitarakis, Jean-Yves

Abstract

We propose a two-step procedure for detecting sparse cointegration in high-dimensional singleequation models. First, we employ the adaptive lasso to identify the subset of integrated covariates driving the long-run equilibrium relationship. Second, we adopt an information-theoretic criterion to distinguish between stationarity and nonstationarity in the resulting residuals, avoiding reliance on asymptotic distributions. A key theoretical contribution is demonstrating that this residualbased decision rule remains consistent regardless of the internal cointegration structure among the right-hand side predictors themselves. Monte Carlo experiments confirm the procedure'srobust finite-sample performance under endogeneity, serial correlation, and rank deficiency in the regressor matrix.

Suggested Citation

  • Gonzalo, Jesús & Pitarakis, Jean-Yves, 2026. "Detecting Sparse Cointegration," UC3M Working papers. Economics 49894, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:49894
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/rest/api/core/bitstreams/b81eeba2-6266-4327-93ba-a6024613aa50/content
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:werepe:49894. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ana Poveda (email available below). General contact details of provider: http://www.eco.uc3m.es/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.