Specification via model selection in vector error correction models

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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.identifier.bibliographicCitation Economics Letters, September 1998, vol. 60, nº 3, p. 321-328
dc.identifier.issn 0165-1765
dc.identifier.uri http://hdl.handle.net/10016/754
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.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso eng
dc.publisher Elsevier
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 article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/S0165-1765(98)00129-3
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/S0165-1765(98)00129-3
dc.rights.accessRights openAccess
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