A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA

DOI10.1017/S0266466605050334zbMath1072.62085WikidataQ59362852 ScholiaQ59362852MaRDI QIDQ5697616

David A. Bessler, Zijun Wang

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

VAR model

Mathematics Subject Classification ID

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

65C05: Monte Carlo methods

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