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

George Kapetanios

Econometric Theory, 2004, vol. 20, issue 04, pages 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
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466604204066 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:20:y:2004:i:04:p:735-742_20

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 ().