Semiparametric selection of seasonal cointegrating ranks using information criteria

We consider the use of information criteria (IC) on the basis of a semiparametric seasonal error correction model for selecting seasonal cointegrating ranks. Some limit properties of the IC are considered and, through a small Monte Carlo simulation, we evaluate the performance of the IC.

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Year of publication:	2013
Authors:	Seong, Byeongchan
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 3, p. 592-595
Publisher:	Elsevier
Subject:	Seasonal cointegration \| Seasonal error correction model \| Seasonal unit roots

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010681779