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Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C. B. Phillips
Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C. B. Phillips
Research Collection School Of Economics
Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a stepwise manner that involves the determination of cointegrating rank and autoregressive lag order in a reduced rank vector autoregression followed by estimation and inference. This paper proposes an automated approach to cointegrated system modeling that …