Automatic identification and restriction of the cointegration space

Pieter Omtzigt ()

Economics and Quantitative Methods from Department of Economics, University of Insubria

Abstract: We automate the process of finding the cointegration relations in a cointegrated VAR. There is a rigorous separation between the theory part (search directions must be defined, a final model chosen) and the automated search. The decision rules are set in such a way that a theoretical upper limit can be given to the asymptotic size of recovering all overidentifying restrictions. A Monte Carlo study shows that the algorithm works well, but that the properties of the asymptotic tests are rather poor at times. The software (in Matlab) to execute the algorithm is available.

Pages: 23 pages
Date: 2002-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0213

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