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SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION

Published online by Cambridge University Press:  17 May 2002

Antonio Aznar  and
Manuel Salvador
Antonio Aznar
Affiliation:
University of Zaragoza
Manuel Salvador
Affiliation:
University of Zaragoza
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Abstract

In this paper we consider a family of penalized likelihood criteria for determining the rank of the cointegration space, the number of lags, and the form of the intercept in vector autoregressions with possibly integrated processes. The paper provides a general consistency result for a class of model determination procedures in which the penalty depends on a simple parameter count only.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 4 , August 2002 , pp. 926 - 947
Copyright
© 2002 Cambridge University Press

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