Specification via model selection in vector error correction models
Specification via model selection in vector error correction models
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.
var, model selection, misspecification
321-328
Gonzalo, J.
25fd9627-b2f7-41a2-b9f0-c9f8ebdfad16
Pitarakis, J.
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
September 1998
Gonzalo, J.
25fd9627-b2f7-41a2-b9f0-c9f8ebdfad16
Pitarakis, J.
ee5519ae-9c0f-4d79-8a3a-c25db105bd51
Gonzalo, J. and Pitarakis, J.
(1998)
Specification via model selection in vector error correction models.
Economics Letters, 60 (3), .
(doi:10.1016/S0165-1765(98)00129-3).
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.
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Published date: September 1998
Keywords:
var, model selection, misspecification
Organisations:
Economics
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Local EPrints ID: 30821
URI: http://eprints.soton.ac.uk/id/eprint/30821
ISSN: 0165-1765
PURE UUID: 750a7b1f-6a27-4789-a293-db5567555efb
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Date deposited: 11 May 2006
Last modified: 16 Mar 2024 03:32
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Author:
J. Gonzalo
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