Semiparametric Seasonal Cointegrating Rank Selection

Byeongchan Seong (), Sung K. Ahn () and Sinsup Cho ()
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Byeongchan Seong: Chung-Ang University, Department of Statistics
Sung K. Ahn: Washington State University, Department of Management and Operations
Sinsup Cho: Seoul National University, Department of Statistics

A chapter in Proceedings of COMPSTAT'2010, 2010, pp 297-304 from Springer

Abstract: Abstract This paper considers the issue of seasonal cointegrating rank selection by information criteria as the extension of Cheng and Phillips (The Econometrics Journal (2009), Vol. 12, pp. S83–S104). The method does not require the specification of lag length in vector autoregression, is convenient in empirical work, and is in a semiparametric context because it allows for a general short memory error component in the model with only lags related to error correction terms. Some limit properties of usual information criteria are given for the rank selection and small Monte Carlo simulations are conducted to evaluate the performances of the criteria.

Keywords: seasonal cointegrating rank; information criteria; nonparametric; model selection (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2604-3_27

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DOI: 10.1007/978-3-7908-2604-3_27

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