Semiparametric Seasonal Cointegrating Rank Selection
- Authors
- Seong, Byeongchan; Sung K. Ahn; Cho, Sinsup
- Issue Date
- Oct-2011
- Publisher
- 한국통계학회
- Keywords
- Seasonal cointegration; information criteria; nonparametric model selection
- Citation
- 응용통계연구, v.24, no.5, pp 791 - 797
- Pages
- 7
- Journal Title
- 응용통계연구
- Volume
- 24
- Number
- 5
- Start Page
- 791
- End Page
- 797
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/27540
- DOI
- 10.5351/KJAS.2011.24.5.791
- ISSN
- 1225-066X
- Abstract
- This paper considers the issue of seasonal cointegrating rank selection by information criteria as the extension of Cheng and Phillips (2009). The method does not require the specification of lag length in vector autoregression, is convenient in empirical work, and is in a semiparametric context because it allows for a general short memory error component in the model with only lags related to error correction terms. Some limit properties of usual information criteria are given for the rank selection and small Monte Carlo simulations are conducted to evaluate the performances of the criteria.
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Collections - College of Business & Economics > Department of Applied Statistics > 1. Journal Articles
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