Semiparametric selection of seasonal cointegrating ranks using information criteria

Byeongchan Seong

Economics Letters, 2013, vol. 120, issue 3, 592-595

Abstract: We consider the use of information criteria (IC) on the basis of a semiparametric seasonal error correction model for selecting seasonal cointegrating ranks. Some limit properties of the IC are considered and, through a small Monte Carlo simulation, we evaluate the performance of the IC.

Keywords: Seasonal cointegration; Seasonal error correction model; Seasonal unit roots (search for similar items in EconPapers)
JEL-codes: C12 C22 C32 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:120:y:2013:i:3:p:592-595

DOI: 10.1016/j.econlet.2013.06.031

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