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http://dx.doi.org/10.5351/KJAS.2011.24.5.791

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)
Publication Information
The Korean Journal of Applied Statistics / v.24, no.5, 2011 , pp. 791-797 More about this Journal
Abstract
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.
Keywords
Seasonal cointegration; information criteria; nonparametric model selection;
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Times Cited By KSCI : 1  (Citation Analysis)
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