A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA
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Publication:5697616
DOI10.1017/S0266466605050334zbMath1072.62085OpenAlexW2043945083WikidataQ59362852 ScholiaQ59362852MaRDI QIDQ5697616
Publication date: 18 October 2005
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466605050334
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Related Items
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models, Semiparametric selection of seasonal cointegrating ranks using information criteria, Cointegration rank switching model: an application to forecasting interest rates, Finite sample performance of the model selection approach in co-integration analysis, Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series
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