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Automatic identification and restriction of the cointegration space

  • Omtzigt Pieter

    ()

    (Department of Economics, University of Insubria, Italy)

We automate the process of finding the cointegration relations in a cointegrated VAR. There is a rigorous separation between the theory part (search directions must be defined, a final model chosen) and the automated search. The decision rules are set in such a way that a theoretical upper limit can be given to the asymptotic size of recovering all overidentifying restrictions. A Monte Carlo study shows that the algorithm works well, but that the properties of the asymptotic tests are rather poor at times. The software (in Matlab) to execute the algorithm is available.

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File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2002_25.pdf
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Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0213.

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Length: 23 pages
Date of creation: Oct 2002
Date of revision:
Handle: RePEc:ins:quaeco:qf0213
Contact details of provider: Postal: Via Ravasi 2-21100 Varese
Web page: http://www.uninsubria.it/uninsubria/facolta/econo.html
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  1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  2. Davidson, James, 1998. "Structural relations, cointegration and identification: some simple results and their application," Journal of Econometrics, Elsevier, vol. 87(1), pages 87-113, August.
  3. Nielsen, Bent & Rahbek, Anders, 2000. " Similarity Issues in Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 5-22, February.
  4. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
  5. 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.
  6. Davidson, James, 1998. "A Wald test of restrictions on the cointegrating space based on Johansen's estimator," Economics Letters, Elsevier, vol. 59(2), pages 183-187, May.
  7. Lovell, Michael C, 1983. "Data Mining," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 1-12, February.
  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  9. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
  10. Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 9727, University of California, Davis, Department of Economics.
  11. Hendry, David F & Doornik, Jurgen A, 1994. "Modelling Linear Dynamic Econometric Systems," Scottish Journal of Political Economy, Scottish Economic Society, vol. 41(1), pages 1-33, February.
  12. Paruolo Paolo, . "LR cointegration tests when some cointegrating relations are known," Economics and Quantitative Methods qf0106, Department of Economics, University of Insubria.
  13. Omtzigt Pieter, 2002. "Automatic identification of simultaneous equations models," Economics and Quantitative Methods qf0201, Department of Economics, University of Insubria.
  14. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
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