THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
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Publication:5719160
DOI10.1017/S0266466604204066zbMath1125.62310MaRDI QIDQ5719160
Publication date: 17 January 2006
Published in: Econometric Theory (Search for Journal in Brave)
Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20)
Related Items (7)
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models ⋮ Semiparametric selection of seasonal cointegrating ranks using information criteria ⋮ DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER ⋮ Averaging estimators for autoregressions with a near unit root ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ Finite sample performance of the model selection approach in co-integration analysis ⋮ Semiparametric cointegrating rank selection
Cites Work
- Statistical analysis of cointegration vectors
- Testing for cointegration using principal components methods
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- Estimating the dimension of a model
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Testing for \(r\) versus \(r-1\) cointegrating vectors
- Nonparametric cointegration analysis
- Information criteria for selecting possibly misspecified parametric models
- Model Selection in Threshold Models
- ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
- Testing for Common Trends
- Selection of the order of an autoregressive model by Akaike's information criterion
- Generalised information criteria in model selection
- SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
- Econometric Model Determination
- An Asymtotic Theory of Bayesian Inference for Time Series
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