Specification via model selection in vector error correction models

Gonzalo, Jesús; Pitarakis, Jean-Yves

Specification via model selection in vector error correction models

Author(s): Gonzalo, Jesús; Pitarakis, Jean-Yves

Publisher: Elsevier

Issued date: 1998-09

Citation: Economics Letters, September 1998, vol. 60, nº 3, p. 321-328

ISSN: 0165-1765

DOI: 10.1016/S0165-1765(98)00129-3

Review: PeerReviewed

Publisher version: http://dx.doi.org/10.1016/S0165-1765(98)00129-3

Keywords: VAR , Model selection , Misspecification

URI: http://hdl.handle.net/10016/754

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 appr [+]

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