응용통계연구 (The Korean Journal of Applied Statistics)

  • 제24권5호
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  • Pages.791-797
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  • 2011
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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Semiparametric Seasonal Cointegrating Rank Selection

  • Seong, Byeong-Chan (Department of Applied Statistics, Chung-Ang University) ;
  • Ahn, Sung-K. (Department of Finance and Management Science, Washington State University) ;
  • Ch, Sin-Sup (Department of Statistics, Seoul National University)
  • 투고 : 20110700
  • 심사 : 20110800
  • 발행 : 2011.10.31
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초록

This paper considers the issue of seasonal cointegrating rank selection by information criteria as the extension of Cheng and Phillips (2009). The method does not require the specification of lag length in vector autoregression, is convenient in empirical work, and is in a semiparametric context because it allows for a general short memory error component in the model with only lags related to error correction terms. Some limit properties of usual information criteria are given for the rank selection and small Monte Carlo simulations are conducted to evaluate the performances of the criteria.

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참고문헌

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