Unit roots and cointegration modelling through a family of flexible information criteria

References

• Ho , B. and Kalman , R. 1966 . Effective construction of linear state-variable models from input-output functions . Regelungstechnik , 14 : 545 – 548 .
   Google Scholar
• Box , G. E.P. and Jenkins , G. M. 1976 . Time Series Analysis, Forecasting and Control , 2 , San Francisco : Holden-Day .
   Google Scholar
• Tiao , G. C. and Tsay , R. S. 1989 . Model specification in multivariate time series . J. Roy. Statist. Soc. B Ser. , 51 ( 2 ) : 157 – 213 .
   Google Scholar
• Dickey , D. A. and Fuller , W. A. 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 1072 .
   Web of Science ®Google Scholar
• Johansen , S. 1988 . Statistical analysis of cointegration vectors . J. Econ. Dyn. Control , 12 : 231 – 254 .
   Web of Science ®Google Scholar
• Johansen , S. 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , 59 : 1551 – 1580 .
   Web of Science ®Google Scholar
• Emerson , J. 2007 . Cointegration analysis and the choice of lag length . Appl. Econ. Lett. , 14 : 881 – 885 .
   Web of Science ®Google Scholar
• Haug , A. 1996 . Tests for cointegration: A Monte Carlo comparison . J. Econometrics , 71 : 89 – 115 .
   Web of Science ®Google Scholar
• Bewley , R. and Yang , M. 1998 . On the size and power of system tests for cointegration . Rev. Econ Statist. , 80 ( 4 ) : 675 – 679 .
   Google Scholar
• Larimore , W. E. Proceedings of the American Control Conference, ACC . San Francisco, CA. System identification, reduced-order filtering and modeling via canonical variate analysis , pp. 445 – 451 .
   Google Scholar
• Katayama , T. 2005 . Subspace Methods for System Identification , London : Springer Verlag .
   Google Scholar
• Poskitt , D. S. 2000 . Strongly consistent determination of cointegrating rank via canonical correlations . J. Bus Econ. Statist. , 18 : 77 – 90 .
   Web of Science ®Google Scholar
• Bewley , R. and Yang , M. 1995 . Test for cointegration based on canonical correlation analysis . J. Amer. Statist. Assoc. , 90 : 990 – 996 .
   Web of Science ®Google Scholar
• Bauer , D. and Wagner , M. 2002 . Estimating cointegrated systems using subspace algorithms . J. Econometrics , 111 : 47 – 84 .
   Web of Science ®Google Scholar
• Casals , J. , Sotoca , S. and Jerez , M. 1999 . A fast and stable method to compute the likelihood of time invariant state space models . Econ. Lett , 65 ( 3 ) : 329 – 337 .
   Google Scholar
• Bauer , D. 2005 . Estimating linear dynamical systems using subspace methods . Econometric Theory , 21 : 181 – 211 .
   Web of Science ®Google Scholar
• Bengtsson , T. and Cavanaugh , J. 2006 . An improved Akaike information criterion for state-space model selection . Comput. Statist. Data Anal. , 50 ( 10 ) : 2635 – 2654 .
   Web of Science ®Google Scholar
• Phillips , P. B.C. and Durlauf , N. S. 1986 . Multiple time series regression with integrated process . Rev. Econ. Stud. , 53 : 473 – 495 .
   Web of Science ®Google Scholar
• Flôres , R. G. , Jorion , P. , Preumont , P. Y. and Szafarz , A. 1999 . Multivariate unit roots test of PPP hypothesis . J. Empirical Finance , 6 : 335 – 353 .
   Google Scholar
• Sanchez , I. and Peña , D. 2001 . Properties of predictors in overdifferenced nearly nonstationary autoregression . J. Time Ser. Anal. , 22 ( 1 ) : 45 – 66 .
   Google Scholar
• Ho , M. and Sørensen , B. 1996 . Finding cointegration rank in high dimensional systems using the johansen test: An illustration using data based Monte Carlo simulations . Rev. Econ. Statist. , 78 : 726 – 732 .
   Web of Science ®Google Scholar
• Riemers , H. E. 1992 . Comparison of tests for multivariate cointegration . Statist. Papers , 33 : 335 – 359 .
   Google Scholar
• Toda , H. Y. 1995 . Finite sample performance of likelihood ratio tests for cointegrating rank in vector autoregressions . Econometric Theory , 11 : 1015 – 1032 .
   Web of Science ®Google Scholar
• Schwarz , G. 1978 . Estimating the dimension of a model . Ann. Statist. , 6 : 461 – 464 .
   Web of Science ®Google Scholar
• Lütkepohl , H. and Poskitt , D. S. 1998 . “ Consistent estimation of the number of cointegration relations in a vector autoregressive model ” . In Econometrics in Theory and Practice: Festchrift for Hans SchneeweiB , Edited by: Galata , R. and Küchenhoff , H. 87 – 100 . Berlin : Springer Verlag .
   Google Scholar
• Casals , J. , Jerez , M. and Sotoca , S. 2002 . An exact multivariate model-based structural decomposition . J. Amer. Statist. Assoc. , 97 ( 458 ) : 553 – 564 .
   Web of Science ®Google Scholar
• García-Hiernaux , A. , Jerez , M. and Casals , J. 2009 . Fast estimation methods for time series models in state-space form . J. Statist. Comput. Simul. , 79 ( 2 ) : 121 – 134 .
   Web of Science ®Google Scholar