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

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

Links for this article

http://www.ingentaconnect.com/els/03044076/1999/00000091/00000002/art00077
http://openurl.ingenta.com/content?genre=article&issn=0304-4076&volume=91&issue=2&spage=227&epage=271
http://dx.doi.org/10.1016/S0304-4076(98)00077-3