Specification via model selection in vector error correction models |
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| Authors: | Jesùs Gonzalo Jean-Yves Pitarakis |
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| Institution: | aDepartment of Econometrics and Statistics, Universidad Carlos III de Madrid, 28903 Getafe, Madrid, Spain;bDepartment of Economics, University of Reading, Reading, UK |
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| Abstract: | This paper proposes a model selection approach for the specification of the cointegrating rank in the VECM representation of VAR models. Asymptotic properties of estimates are derived and their features compared with the traditional likelihood ratio based approach. |
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| Keywords: | VAR Model selection Misspecification |
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