Finite sample performance of the model selection approach in co-integration analysis

Journal of Statistical Computation and Simulation

Volumn 79, Issue 4, 2009, Pages 349-360

  Wang, Zijun ^a   Bessler, David A ^a  

^a TEXAS A AND M UNIVERSITY   (United States)

Author keywords

Co integrating rank; Information criteria; Maximum eigenvalue test; Model selection

Indexed keywords

EID: 68949088164     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/00949650701766962     Document Type: Article

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