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1997-11-27Buch DOI: 10.18452/3852
Order Selection in Testing for the Cointegrating Rank of a VAR Process
dc.contributor.authorLütkepohl, Helmut
dc.contributor.authorSaikkonen, Pentti
dc.date.accessioned2017-06-15T22:20:59Z
dc.date.available2017-06-15T22:20:59Z
dc.date.created2006-06-08
dc.date.issued1997-11-27
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4504
dc.description.abstractThe impact of the choice of the lag length on tests for the number of cointegration relations in a vector autoregressive (VAR) process is investigated. It is shown that the asymptotic distribution of likelihood ratio (LR) tests for the cointegrating rank remains unchanged if the true data generation process (DGP) is of finite order and a consistent model selection criterion is used for choosing the lag length. A similar result also holds if the true DGP is an in finite order VAR. In a simulation study we find that small sample power and size of LR cointegration tests strongly depend on the choice of the lag order.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleOrder Selection in Testing for the Cointegrating Rank of a VAR Process
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10064699
dc.identifier.doihttp://dx.doi.org/10.18452/3852
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages36
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1997
local.edoc.container-issue93
local.edoc.container-year1997
local.edoc.container-erstkatid2135319-0

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