Cointegrating Rank Selection in Models with Time-Varying Variance
Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting volat...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1833 https://doi.org/10.1016/j.jeconom.2012.01.022 |
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| Institution: | Singapore Management University |
| Language: | English |