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Specification via model selection in vector error correction models

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URI: http://hdl.handle.net/10016/754
ISSN: 0165-1765
DOI: 10.1016/S0165-1765(98)00129-3
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1998-09
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Elsevier
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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.
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VAR, Model selection, Misspecification
Bibliographic citation
Economics Letters, September 1998, vol. 60, nº 3, p. 321-328
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