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Semiparametric cointegrating rank selection - MaRDI portal

Semiparametric cointegrating rank selection (Q3406055)

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Semiparametric cointegrating rank selection
scientific article

    Statements

    title
    Semiparametric cointegrating rank selection (English)
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    author
    Xu Cheng
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    Peter C. B. Phillips
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    publication date
    12 February 2010
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    zbMATH Keywords
    cointegrating rank
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    consistency
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    information criteria
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    model selection
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    non-parametric
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    short memory
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    unit roots
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    Identifiers

    Mathematics Subject Classification ID
    62G08
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    62M10
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    62P20
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    62E20
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    zbMATH DE Number
    5669381
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