Finite sample performance of the model selection approach in co-integration analysis

DOI10.1080/00949650701766962MaRDI QIDQ3636775zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

model selectioninformation criteriaco-integrating rankmaximum eigenvalue test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
• Semiparametric cointegrating rank selection
• 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
• Semiparametric selection of seasonal cointegrating ranks using information criteria

Cites work

• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Econometric Model Determination
• Estimating the dimension of a model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Five alternative methods of estimating long-run equilibrium relationships
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• On predictive least squares principles
• SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
• Selection of the order of an autoregressive model by Akaike's information criterion
• Statistical analysis of cointegration vectors
• THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
• Tests for cointegration. A Monte Carlo comparison
• Vector autoregression and causality: a theoretical overview and simulation study

Cited in

(6)

• A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
• Semiparametric selection of seasonal cointegrating ranks using information criteria
• 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
• Model selection criteria for the leads-and-lags cointegrating regression
• SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION

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