No label defined (Q4257540)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1329169
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | No label defined |
scientific article; zbMATH DE number 1329169 |
Statements
7 August 2000
0 references
vector autoregressive model
0 references
cointegration rank
0 references
0.9259209
0 references
0 references
0.89595073
0 references
0.89526874
0 references
0.8925375
0 references
A class of criteria is developed which estimate the cointegration rank of a vector autoregressive model consistently. It turns out that the usual consistent criteria for lag length selection can be adapted for the present purpose. However, alternative criteria may be advantageous. The small sample relevance of the asymptotic results is demonstrated by a small simulation study. For the entire collection see [Zbl 0909.00064].
0 references
