Athanasopoulos, George; Guillén, Osmani Teixeira de … - 2009
also does not address the uncertainty surrounding the number of cointegrating
vectors in a way that can lead to a modelling … these unknowns simultaneously. Our goal is to determine a modelling strategy
that is useful for multivariate forecasting … constants and other deterministic
terms if needed.
4 Model selection
The modal strategy in applied work for modelling a vector …