Article2004

THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION

26 citations0/0 files storedEconometric Theory

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Monetary Policy and Economic Impact Statistical Methods and Inference Diverse Scientific and Economic Studies

Abstract

We derive the asymptotic distribution of the estimate of the cointegration rank of a multivariate model when Akaike's information criterion is used. It is shown that the use of this criterion is ill-advised given that the estimate is severely upward biased even asymptotically.I thank the editor, Professor Peter Phillips, and three anonymous referees for comments and suggestions that improved this paper significantly. All remaining errors are my own.

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References

1988Statistical analysis of cointegration vectors 1993Introduction to Multiple Time Series Analysis 1988Testing for Common Trends 1988Testing for Common Trends 1997Nonparametric cointegration analysis 1988Testing for cointegration using principal components methods 1994Posterior Odds Testing for a Unit Root with Data-Based Model Selection 1997Cointegration and Long-Horizon Forecasting

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2016DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER 2006Testing for Cointegrating Rank Via Model Selection: Evidence From 165 Data Sets

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