Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

DOI10.1016/S0304-4076(98)00077-3zbMath1041.62516OpenAlexW2169246903MaRDI QIDQ1298458

John C. Chao, Peter C. B. Phillips

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00077-3

zbMATH Keywords

PICVector autoregressionOrder selectionInformation criterionCointegrating rankReduced rank regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Forecast accuracy, coefficient bias and Bayesian vector autoregressions, A MODIFIED INFORMATION CRITERION FOR COINTEGRATION TESTS BASED ON A VAR APPROXIMATION, Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models, Forecasting cointegrated nonstationary time series with time-varying variance, Error-Correction Factor Models for High-dimensional Cointegrated Time Series, A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA, LASSO-TYPE GMM ESTIMATOR, DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER, Determination of vector error correction models in high dimensions, Cointegration: Bayesian Significance Test, THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION, Cointegrating rank selection in models with time-varying variance, Model selection in the presence of nonstationarity, Bayesian assessment of dimensionality in reduced rank regression, Model identification of ARIMA family using genetic algorithms, BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION, A simple cointegrating rank test without vector autoregression, The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment, Averaging estimators for autoregressions with a near unit root, Editorial. Annals issue on forecasting -- guest editors' introduction, Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions, Cointegration rank switching model: an application to forecasting interest rates, Variable selection in regression models using nonstandard optimisation of information criteria, Finite sample performance of the model selection approach in co-integration analysis, Priors for the Long Run, A REVIEW OF SYSTEMS COINTEGRATION TESTS, AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS, A CUSUM test for cointegration using regression residuals, Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration, Efficient tests for unit roots with prediction errors, Model selection using information criteria and genetic algorithms

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Bayesian analysis of the unit root in real exchange rates
• Order selection in nonstationary autoregressive models
• Statistical decision theory and Bayesian analysis. 2nd ed
• Understanding spurious regressions in econometrics
• Statistical analysis of cointegration vectors
• Bayesian reduced rank regression in econometrics
• On predictive least squares principles
• Estimating the dimension of a model
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• A comment on D. V. Lindley's statistical paradox
• Optimal Inference in Cointegrated Systems
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Testing for Common Trends
• Selection of the order of an autoregressive model by Akaike's information criterion
• Vector Autoregressions and Causality
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Vector autoregression and causality: a theoretical overview and simulation study
• Econometric Model Determination
• An Asymtotic Theory of Bayesian Inference for Time Series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models