RT Journal Article
T1 Specification via model selection in vector error correction models
A1 Gonzalo, Jesús
A1 Pitarakis, Jean-Yves
AB 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.
PB Elsevier
SN 0165-1765
YR 1998
FD 1998-09
LK https://hdl.handle.net/10016/754
UL https://hdl.handle.net/10016/754
LA eng
DS e-Archivo
RD 4 may. 2024