Finite sample performance of the model selection approach in co-integration analysis
DOI10.1080/00949650701766962zbMATH Open1169.62079OpenAlexW2014594672WikidataQ59362826 ScholiaQ59362826MaRDI QIDQ3636775FDOQ3636775
Authors: Zijun Wang, David A. Bessler 
Publication date: 29 June 2009
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650701766962
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Cites Work
- Estimating the dimension of a model
- Title not available (Why is that?)
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Statistical analysis of cointegration vectors
- Selection of the order of an autoregressive model by Akaike's information criterion
- Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
- On predictive least squares principles
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Vector autoregression and causality: a theoretical overview and simulation study
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
- Econometric Model Determination
- Five alternative methods of estimating long-run equilibrium relationships
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- Tests for cointegration. A Monte Carlo comparison
- A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
Cited In (4)
- Discrepancy in regression estimates between log-normal and gamma: some case studies
- Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series
- SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
- A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
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