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	On determination of cointegration ranks
	Li, Qiaoling ; Pan, Jiazhu ; Yao, Qiwei
	2009
关键词	Cointegration error correction models penalized goodness-of-fit criteria model selection MULTIPLE TIME-SERIES AUTOREGRESSIVE MODELS INFORMATION CRITERION INTEGRATED PROCESSES ERROR-CORRECTION VECTORS SPECIFICATION INFERENCE
英文摘要	We propose a new method to determine the cointegration rank in the error correction model (ECM). The cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We show that the estimated cointegration vectors are consistent with a convergence rate T, where T is the sample size, and our estimation for the cointegration rank is consistent. Our approach is more robust than the conventional likelihood based methods, as we do not impose any assumption on the form of the error distribution in the model. Furthermore we allow the serial dependence in the error sequence. The proposed methodology is illustrated with both simulated and real data examples. The advantage of the new method is particularly pronounced in the simulation with non-Gaussian and/or serially dependent errors.; Mathematical & Computational Biology; Mathematics, Interdisciplinary Applications; SCI(E); SSCI; 0; ARTICLE; 1; 45-56; 2
语种	英语
出处	SCI
出版者	statistics and its interface
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/314726]
专题	数学科学学院
推荐引用方式 GB/T 7714	Li, Qiaoling,Pan, Jiazhu,Yao, Qiwei. On determination of cointegration ranks. 2009-01-01.

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