Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
In Choi,
Eiji Kurozumi (kurozumi@stat.hit-u.ac.jp) and
英司 黒住
No 6, CCES Discussion Paper Series from Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University
Keywords: Cointegration; Leads-and-lags regression; AIC; Corrected AIC; BIC; Cp (search for similar items in EconPapers)
Pages: 30 pages
Date: 2008-12
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: First Draft: April, 2008; Revised: August, 2008
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Citations: View citations in EconPapers (2)
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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16354/070ccesDP_006.pdf
Related works:
Journal Article: Model selection criteria for the leads-and-lags cointegrating regression (2012)
Working Paper: Model Selection Criteria for the Leads-and-Lags Cointegrating Regression (2009)
Working Paper: Model Selection Criteria for the Leads-and-Lags Cointegrating Regression (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:ccesdp:6
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