Selecting the rank of the cointegration space and the form of the intercept using an information criterion

被引：51

作者：

Aznar, A ^{[1
]}

Salvador, M ^{[1
]}

机构：

[1] Univ Zaragoza, Dept Anal Econ, Fac CC Econ & Empresariales, Zaragoza 50005, Spain

来源：

ECONOMETRIC THEORY | 2002年 / 18卷 / 04期

关键词：

D O I：

10.1017/S0266466602184064

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we consider a family of penalized likelihood criteria for determining the rank of the cointegration space, the number of lags, and the form of the intercept in vector autoregressions with possibly integrated processes. The paper provides a general consistency result for a class of model determination procedures in which the penalty depends on a simple parameter count only.

引用

页码：926 / 947

页数：22

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