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Testing the null of stationarity for multiple time series

Choi, In; Chul Ahn, Byung - In: Journal of Econometrics 88 (1998) 1, pp. 41-77

Persistent link: https://www.econbiz.de/10005052762

Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model

Choi, In - In: Journal of Econometrics 109 (2002) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10005122813

Spurious regressions and residual-based tests for cointegration when regressors are cointegrated

Choi, In - In: Journal of Econometrics 60 (1994) 1-2, pp. 313-320

Persistent link: https://www.econbiz.de/10005285642

Testing for a unit root by frequency domain regression

Choi, In; Phillips, Peter C. B. - In: Journal of Econometrics 59 (1993) 3, pp. 263-286

Persistent link: https://www.econbiz.de/10005285992

Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations

Choi, In; Phillips, Peter C. B. - In: Journal of Econometrics 51 (1992) 1-2, pp. 113-150

Persistent link: https://www.econbiz.de/10005238951

Subsampling vector autoregressive tests of linear constraints

Choi, In - In: Journal of Econometrics 124 (2005) 1, pp. 55-89

Persistent link: https://www.econbiz.de/10005192765

Model selection criteria for the leads-and-lags cointegrating regression

Choi, In; Kurozumi, Eiji - In: Journal of Econometrics 169 (2012) 2, pp. 224-238

In this paper, Mallows’ (1973)Cp criterion, Akaike’s (1973) AIC, Hurvich and Tsai’s (1989) corrected AIC and the BIC of Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection criteria for the leads-and-lags regression is a...

Persistent link: https://www.econbiz.de/10010664691