THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION

George Kapetanios

Econometric Theory, 2004, vol. 20, issue 4, 735-742

Abstract: We derive the asymptotic distribution of the estimate of the cointegration rank of a multivariate model when Akaike's information criterion is used. It is shown that the use of this criterion is ill-advised given that the estimate is severely upward biased even asymptotically.I thank the editor, Professor Peter Phillips, and three anonymous referees for comments and suggestions that improved this paper significantly. All remaining errors are my own.

Date: 2004
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