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

Authors: Chao J.C.1; Phillips P.C.B.

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

Publisher: Elsevier

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content

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: 10.1016/S0304-4076(98)00077-3

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

This article is hosted on another website.

You may be required to register, activate a subscription or purchase the article before you can obtain the full text.

Proceed

Back to top

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content
Page Help Click here for Page Help
Shopping cart
Tools
Sign in






Need to register?
Sign up here
Text size: A | A | A | A