Model selection criteria for the leads-and-lags cointegrating regression

Journal of Econometrics

Volumn 169, Issue 2, 2012, Pages 224-238

  Choi, In ^a   Kurozumi, Eiji ^b  

^a Sogang University   (South Korea)

^b HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

Cp; AIC; BIC; Cointegration; Corrected AIC; Leads and lags regression

Indexed keywords

CP; AIC; BIC; COINTEGRATION; CORRECTED AIC; LEADS-AND-LAGS REGRESSION;

MEAN SQUARE ERROR;

REGRESSION ANALYSIS;

EID: 84862643495     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.01.021     Document Type: Conference Paper

References (36)

1. H. Akaike Information theory and an extension of the maximum likelihood principle B.N. Petrov, F. Csáki, 2nd International Symposium on Information Theory 1973 Akadémiai Kiadó Budapest 267 281
2. H. Akaike A Bayesian analysis of the minimum AIC procedure Annals of the Institute of Statistical Mathematics 30 1978 9 14
3. L. Ball Another look at long-run money demand Journal of Monetary Economics 47 2001 31 44 (Pubitemid 33626361)
4. J. Bentzen Estimating the rebound effect in US manufacturing energy consumption Energy Economics 26 2004 123 134 (Pubitemid 38086767)
5. K.N. Berk Consistent autoregressive spectral estimates The Annals of Statistics 2 1974 489 502
6. K.P. Burnham, and D.R. Anderson Model Selection and Multi-Model Inference: A Practical Information-Theoretic Approach second ed. 2002 Springer-Verlag
7. R.J. Caballero Small sample bias and adjustment costs The Review of Economics and Statistics 76 1994 52 58
8. W. Hai, Nelson C. Mark, and Y. Wu Understanding spot and forward exchange rate regressions Journal of Applied Econometrics 12 1997 715 734
9. C.P. Hargreaves A review of methods of estimating cointegrating relationships C.P. Hargreaves, Nonstationary Time Series Analysis and Cointegration 1994 Oxford University Press 87 132
10. C.M. Hurvich, and C. Tsai Regression and time series model selection in small samples Biometrika 76 1989 297 307
11. C.M. Hurvich, and C. Tsai Bias of the corrected AIC criterion for underfitted regression and time series models Biometrika 78 1991 499 509
12. K.A. Hussein International capital mobility in OECD countries: the Feldstein-Horioka 'puzzle' revisited Economics Letters 59 1998 237 242
13. S. Johansen Statistical anaysis of cointgrating vectors Journal of Economic Dynamics and Control 12 1988 231 254
14. M. Kejriwal, and P. Perron Data dependent rule for selection of the number of leads and lags in the dynamic OLS cointegrating regression Econometric Theory 24 2008 1425 1441
15. R. Lewis, and G.C. Reinsel Prediction of multivariate time series by autoregressive model fitting Journal of Multivariate Analysis 16 1985 393 411
16. Cp Technometrics 15 1973 661 675
17. R. Masih, and A.M.M. Masih Stock-Watson dynamic OLS (DOLS) and error-correction modelling approaches to estimating long- and short-run elasticities in a demand function: new evidence and methodological implications from an application to the demand for coal in mainland China Energy Economics 18 1996 315 334
18. E. Panopoulou, and N. Pittis A comparison of autoregressive distributed lag and dynamic OLS cointegration estimators in the case of a serially correlated cointegration error Econometrics Journal 7 2004 545 617
19. J.Y. Park Canonical cointegrating regressions Econometrica 60 1992 119 143
20. H.M. Pesaran, and Y. Shin An autoregressive distributed lag modelling approach to cointegration analysis S. Strom, Econometrics and Economic Theory in the Twentieth Century: The Ragnar Frisch Centennial Symposium 1999 Cambridge University Press Cambridge, UK 371 413
21. P.C.B. Phillips, and S.N. Durlauf Multiple time series regression with integrated processes The Review of Economic Studies 53 1986 473 495
22. P.C.B. Phillips, and B.E. Hansen Statistical inference in instrumental variables regression with I(1) processes The Review of Economic Studies 57 1990 99 125
23. P.C.B. Phillips, and M. Loretan Estimating long-run economic equilibria The Review of Economic Studies 58 1991 407 436
24. P.C.B. Phillips, and W. Ploberger Posterior odds testing for a unit root with data-based model selection Econometric Theory 10 1994 774 808
25. P.C.B. Phillips, and W. Ploberger An asymptotic theory of Bayesian inference for time series Econometrica 64 1996 381 412 (Pubitemid 126460762)
26. C.R. Rao, and Y. Wu On model selection P. Lahiri, Model Selection 2001 Institute of Mathematical Statistics Beachwood, Ohio 1 57
27. P. Saikkonen Asymptotically efficient estimation of cointegration regressions Econometric Theory 7 1991 1 21
28. P. Saikkonen, and I. Choi Cointegrating smooth transition regressions Econometric Theory 20 2004 301 340 (Pubitemid 38482885)
29. G. Schwarz Estimating the dimension of a model The Annals of Statistics 6 1978 461 464
30. R. Shibata Asymptotically efficient selection of the order of the model for estimating parameters of a linear process The Annals of Statistics 8 1980 147 164
31. R. Shibata An optimal selection of regression variables Biometrika 68 1981 45 54
32. J.H. Stock, and M.W. Watson A simple estimator of cointegrating vectors in higher order integrated systems Econometrica 61 1993 783 820
33. K. Takeuchi Distribution of informational statistics and a criterion of model fitting Suri-Kagaku (Mathematic Sciences) vol. 153 1976 12 18
34. C.E. Weber Cyclical output, cyclical unemployment, and Okun's coefficient: a new approach Journal of Applied Econometrics 10 1995 433 445
35. J. Wu, S. Fountas, and S. Chen Testing for the sustainability of the current account deficit in two industrial countries Economics Letters 52 1996 193 198
36. E. Zivot Cointegration and forward and spot exchange rate regressions Journal of International Money and Finance 19 2000 785 812