Comovements in large systems

Jean-Yves Pitarakis
Authors registered in the RePEc Author Service: Jesus Gonzalo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we study various methods for detecting the co integrating rank as the number of variables gets large. We show that the use of standard tools will always lead to misleading inferences in such settings due to excessive size distortions. Particularly the LR test tends to produce too much cointegration. We introduce a new test statistic that displays excellent size properties in both small and large systems. In addition we propose a model selection procedure for selecting the co integrating rank. A new criterion outperforms the standard informationtheoretic criteria (AIC, BIC).

Keywords: Large; Systems; Cointegration; Information; Criteria; Likelihood; Ratio; Tests (search for similar items in EconPapers)
Date: 1995-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Comovements in Large Systems (1994)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:5825

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