Specification via model selection in vector error correction models

Publication:
Specification via model selection in vector error correction models

dc.affiliation.dpto	UC3M. Departamento de Economía	es
dc.contributor.author	Gonzalo, Jesús
dc.contributor.author	Pitarakis, Jean-Yves
dc.date.accessioned	2009-06-19T11:46:58Z
dc.date.available	2009-06-19T11:46:58Z
dc.date.issued	1998-09
dc.description.abstract	This paper proposes a model selection approach for the specification of the cointegrating rank in the VECM representation of VAR models. Asymptotic properties of estimates are derived and their features compared with the traditional likelihood ratio based approach.
dc.description.status	Publicado
dc.format.mimetype	application/pdf
dc.format.mimetype	text/plain
dc.identifier.bibliographicCitation	Economics Letters, September 1998, vol. 60, nº 3, p. 321-328
dc.identifier.doi	10.1016/S0165-1765(98)00129-3
dc.identifier.issn	0165-1765
dc.identifier.uri	https://hdl.handle.net/10016/754
dc.language.iso	eng
dc.publisher	Elsevier
dc.relation.publisherversion	http://dx.doi.org/10.1016/S0165-1765(98)00129-3
dc.rights.accessRights	open access
dc.subject.eciencia	Economía
dc.subject.other	VAR
dc.subject.other	Model selection
dc.subject.other	Misspecification
dc.title	Specification via model selection in vector error correction models
dc.type	research article	*
dc.type.review	PeerReviewed
dspace.entity.type	Publication

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