Unit Roots and Cointegration Modelling through a Family of Flexible Information Criteria Articles uri icon

authors

  • GARCIA HIERNAUX, ALFREDO
  • JEREZ, MIGUEL
  • CASALS, JOSE

publication date

  • March 2010

start page

  • 173

end page

  • 189

issue

  • 2

volume

  • 80

International Standard Serial Number (ISSN)

  • 0094-9655

Electronic International Standard Serial Number (EISSN)

  • 1563-5163

abstract

  • We propose a fast and consistent procedure to detect unit roots based on subspace methods. It has three distinctive features. First, the same method can be applied to single or multiple time series. Second, it
    employs a flexible family of information criteria, whose loss functions
    can be adapted to the statistical properties of the data. Last, it does
    not require the specification of a model for the analysed series. In
    addition, we provide a subspace-based consistent estimator for the
    cointegrating rank and the cointegrating matrix. Simulation exercises
    show that these procedures have good finite sample properties.