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

consistency; model selection; unit roots; information criteria; cointegrating rank; non-parametric; short memory

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

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DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER, 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, Forecasting cointegrated nonstationary time series with time-varying variance, Cointegrating rank selection in models with time-varying variance, Recursive adjustment for general deterministic components and improved cointegration rank tests, Kernel-based inference in time-varying coefficient cointegrating regression, Asymptotic theory for near integrated processes driven by tempered linear processes, Semiparametric selection of seasonal cointegrating ranks using information criteria, COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY, Semiparametric Seasonal Cointegrating Rank Selection

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