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- Title
Semiparametric cointegrating rank selection.
- Authors
XU CHENG; PHILLIPS, PETER C. B.
- Abstract
Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a non-parametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of cointegrating rank provided the penalty coefficient and as . The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the specification of a full model, is convenient for practical implementation in empirical work, and is sympathetic with semiparametric estimation approaches to co-integration analysis. Some simulation results on the finite sample performance of the criteria are reported.
- Subjects
ECONOMETRICS; CRITERION (Theory of knowledge); REGRESSION analysis; MATHEMATICAL models; SOCIAL sciences
- Publication
Econometrics Journal, 2009, Vol 12, pS83
- ISSN
1368-4221
- Publication type
Article
- DOI
10.1111/j.1368-423X.2008.00270.x