期刊
ECONOMETRIC THEORY
卷 18, 期 4, 页码 926-947出版社
CAMBRIDGE UNIV PRESS
DOI: 10.1017/S0266466602184064
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In this paper we consider a family of penalized likelihood criteria for determining the rank of the cointegration space, the number of lags, and the form of the intercept in vector autoregressions with possibly integrated processes. The paper provides a general consistency result for a class of model determination procedures in which the penalty depends on a simple parameter count only.
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