Specification via model selection in vector error correction models

Economics Letters

Volumn 60, Issue 3, 1998, Pages 321-328

  Gonzalo, Jesùs ^a   Pitarakis, Jean Yves ^b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b UNIVERSITY OF READING   (United Kingdom)

Author keywords

C32; C52; Misspecification; Model selection; VAR

Indexed keywords

EID: 0032342645     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(98)00129-3     Document Type: Article

References (11)

1. Akaike H. Fitting autoregressive models for prediction. Annals of the Institute of Statistical Mathematics. 21:1969;243-247.
2. Akaike, H., 1974. A new look at the statistical model identification, IEEE Transactions on Automatic Control AC-19, 667-673.
3. Gonzalo, J., Pitarakis, J.Y., 1997. Lag length estimation in large dimensional systems, Economics Department Discussion Paper, The University of Reading.
4. Gonzalo, J., Pitarakis, J.Y., 1995. Comovements in large systems, CORE Discussion Paper No. 9465.
5. Hannan E., Quinn B. The determination of the order of an autoregression. Journal of The Royal Statistical Society, Ser. B. 41:1979;190-195.
6. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica. 59:1991;1551-1580.
7. Lütkepohl H. Comparison of criteria for estimating the order of a vector autoregressive process. Journal of Time Series Analysis. 14:1985;47-69.
8. Lütkepohl, H., 1991. Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin.
9. Reimers H.E. Comparisons of tests for multivariate cointegration. Statistical Papers. 33:1993;335-359.
10. Schwarz G. Estimating the dimension of a model. Annals of Statistics. 6:1978;461-464.
11. Zhang P. On the distributional properties of model selection criteria. Journal of the American Statistical Association. 87:1992;732-737.