scientific article; zbMATH DE number 1329169
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Publication:4257540
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].
Recommendations
- Consistent estimation in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations
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Cited in
(6)- DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION
- Determining the cointegration rank in heteroskedastic VAR models of unknown order
- SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
- THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
- A simple cointegrating rank test without vector autoregression
- Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
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