Model selection criteria for the leads-and-lags cointegrating regression

DOI10.1016/j.jeconom.2012.01.021zbMath1443.62248OpenAlexW2043991238MaRDI QIDQ527997

Yong-Cai Geng, Sumit K. Garg

Publication date: 12 May 2017

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

Full work available at URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd08-006.pdf

zbMATH Keywords

cointegrationAICBIC\(C_p\)corrected AICleads-and-lags regression

Mathematics Subject Classification ID

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

Related Items (1)

Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions

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