Specification via model selection in vector error correction models
Gonzalo, J. and Pitarakis, J. (1998) Specification via model selection in vector error correction models. Economics Letters, 60, (3), 321-328. (doi:10.1016/S0165-1765(98)00129-3)
Download
Full text not available from this repository.
Description/Abstract
This paper proposes a model selection approach for the specification of the cointegrating rank in the VECM representation of VAR models. Asymptotic properties of estimates are derived and their features compared with the traditional likelihood ratio based approach.
| Item Type: | Article |
|---|---|
| ISSN: | 0165-1765 (print) |
| Subjects: | H Social Sciences > H Social Sciences (General) |
| Divisions: | University Structure - Pre August 2011 > School of Social Sciences > Economics |
| ePrint ID: | 30821 |
| URI: | http://eprints.soton.ac.uk/id/eprint/30821 |
| Deposited On: | 11 May 2006 |
| Last Modified: | 01 Jun 2011 06:49 |
Associated Staff Only: edit my ePrint
