Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

Authors: Chao J.C.; Phillips P.C.B.

Source: Journal of Econometrics, Volume 91, Number 2, August 1999 , pp. 227-271(45)

Publisher: Elsevier

Keywords: [JEL classification codes] C32, C52; Cointegrating rank; Information criterion; Order selection; PIC; Reduced rank regression; Vector autoregression

Language: English

Document Type: Research article

DOI: http://dx.doi.org/10.1016/S0304-4076(98)00077-3

Affiliations: 1: Department of Economics, University of Maryland, College Park, USA

Publication date: 1999-08-01

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• By this author: Chao J.C. ;  Phillips P.C.B.

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