Semiparametric Seasonal Cointegrating Rank Selection

DOI10.1007/978-3-7908-2604-3_27zbMath1436.62440OpenAlexW1972280969MaRDI QIDQ3298479

Sinsup Cho, Sung K. Ahn, Byeongchan Seong

Publication date: 14 July 2020

Published in: Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2604-3_27

zbMATH Keywords

model selectionnonparametricinformation criteriaseasonal cointegrating rank

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric inference (62G99)

Cites Work

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• Bonferroni correction for seasonal cointegrating ranks
• Estimating the dimension of a model
• Likelihood analysis of seasonal cointegration
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Semiparametric cointegrating rank selection
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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