SPECIFICATION VIA MODEL SELECTION IN VECTOR ERROR-CORRECTION MODELS

Authors
GONZALO J PITARAKIS JY
Citation
J. Gonzalo et Jy. Pitarakis, SPECIFICATION VIA MODEL SELECTION IN VECTOR ERROR-CORRECTION MODELS, Economics letters, 60(3), 1998, pp. 321-328
Citations number
11
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
60
Issue
3
Year of publication
1998
Pages
321 - 328
Database
ISI
SICI code
0165-1765(1998)60:3<321:SVMSIV>2.0.ZU;2-M
Abstract
This paper proposes a model selection approach for the specification o f the cointegrating rank in the VECM representation of VAR models. Asy mptotic properties of estimates are derived and their features compare d with the traditional likelihood ratio based approach. (C) 1998 Elsev ier Science S.A. All rights reserved.