Semiparametric cointegrating rank selection

Xu Cheng and Peter Phillips

Econometrics Journal, 2009, vol. 12, issue s1, S83-S104

Abstract: . The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the specification of a full model, is convenient for practical implementation in empirical work, and is sympathetic with semiparametric estimation approaches to co-integration analysis. Some simulation results on the finite sample performance of the criteria are reported. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009

Date: 2009
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