Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
J.C. Chao and P. C. B. Phillips
,
2
(
91
)
Journal of Econometrics
227-271
August
1999
Abstract
The current practice for determining the number of linearly independent cointegrating vectors, or the cointegrating rank, in a vector autoregression (VAR) requires the investigator to perform a sequence of cointegration tests. However, as was shown inJohansen (1992), this type of sequential procedure does not lead to consistent estimation of the cointegrating rank.