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Full-Text Articles in Social and Behavioral Sciences
Unit Root Model Selection, Peter C.B. Phillips
Unit Root Model Selection, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient C n → ∞ and C n /n → 0 as n → ∞. Strong consistency holds when C n /(log log n ) 3 → ∞ under conventional assumptions on initial conditions and under a slightly stronger condition when initial conditions are infinitely distant in the unit root model. The limit …
Semiparametric Cointegrating Rank Selection, Xu Cheng, Peter C.B. Phillips
Semiparametric Cointegrating Rank Selection, Xu Cheng, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of cointegrating rank provided the penalty coefficient C n → ∞ and C n /n → 0 as n → ∞. The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the …