SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION

Antonio Aznar and Manuel Salvador

Econometric Theory, 2002, vol. 18, issue 04, pages 926-947

Abstract: In this paper we consider a family of penalized likelihood criteria for determining the rank of the cointegration space, the number of lags, and the form of the intercept in vector autoregressions with possibly integrated processes. The paper provides a general consistency result for a class of model determination procedures in which the penalty depends on a simple parameter count only.

Date: 2002
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466602184064 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:18:y:2002:i:04:p:926-947_18

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().