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Specification via model selection in vector error correction models

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
60
Issue
3
Identifiers
DOI: 10.1016/s0165-1765(98)00129-3
Keywords
  • Var
  • Model Selection
  • Misspecification
Disciplines
  • Mathematics

Abstract

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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