Semiparametric cointegrating rank selection

DOI10.1111/j.1368-423X.2008.00270.xzbMath1182.62080MaRDI QIDQ3406055

Xu Cheng, Peter C. B. Phillips

Publication date: 12 February 2010

Published in: Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

consistencymodel selectionunit rootsinformation criteriacointegrating ranknon-parametricshort memory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (14)

Forecasting cointegrated nonstationary time series with time-varying variance ⋮ Kernel-based inference in time-varying coefficient cointegrating regression ⋮ Recursive adjustment for general deterministic components and improved cointegration rank tests ⋮ Semiparametric selection of seasonal cointegrating ranks using information criteria ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ Semiparametric Seasonal Cointegrating Rank Selection ⋮ DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER ⋮ Cointegrating rank selection in models with time-varying variance ⋮ Asymptotic theory for near integrated processes driven by tempered linear processes ⋮ AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS ⋮ REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series ⋮ Limit Theory for VARs with Mixed Roots Near Unity ⋮ Lag length selection in panel autoregression

Cites Work

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• An Asymtotic Theory of Bayesian Inference for Time Series
• THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION

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