Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank

George Kapetanios
Authors registered in the RePEc Author Service: Garry Young

No 166, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: The determination of the cointegration rank of a multivariate cointegrated system is usually carried out assuming that the lag order of the vector autoregressive process representing the multivariate system is known. Since such an assumption is unlikely to hold in reality, the question of how the lag order selection may affect the determination of the cointegration rank arises. This paper aims to address this question in a Monte Carlo framework. Additionally, we provide a formal justification for the application of model selection criteria in selecting the cointegration rank.

Date: 2000-05
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nsr:niesrd:166

Access Statistics for this paper

More papers in National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research 2 Dean Trench Street Smith Square London SW1P 3HE. Contact information at EDIRC.
Bibliographic data for series maintained by Library & Information Manager ().