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Model Selection Criteria for the Leads-and-Lags Cointegrating Regression

Choi, In; Kurozumi, Eiji - Research Institute for Market Economy, Sogang University - 2008

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/10009251372

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/10002439389

Panel cointegration

Choi, In - In: The Oxford handbook of panel data, (pp. 46-75). 2015

Persistent link: https://www.econbiz.de/10010472609

Panel Cointegration

Choi, In - In: The Oxford handbook of panel data. 2015

Persistent link: https://www.econbiz.de/10013476542

Model Selection Criteria for the Leads-and-Lags Cointegrating Regression

Choi, In; Kurozumi, Eiji - Center for Research on Contemporary Economic Systems, … - 2008

Persistent link: https://www.econbiz.de/10004990969

Model Selection Criteria for the Leads-and-Lags Cointegrating Regression

Choi, In; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2008

Persistent link: https://www.econbiz.de/10005650694

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

Cointegrating smooth transition regressions with application to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

Persistent link: https://www.econbiz.de/10001555318

Testing linearity in cointegrating transition regressions

Choi, In; Saikkonen, Pentti - In: The econometrics journal 7 (2004) 2, pp. 341-365

Persistent link: https://www.econbiz.de/10002463466

Tests for nonlinear cointegration

Choi, In; Saikkonen, Pentti - In: Econometric theory 26 (2010) 3, pp. 682-709

Persistent link: https://www.econbiz.de/10003992424