DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
未知阶异方差 VAR 模型的协整秩确定
We investigate the asymptotic and finite sample properties of a number of methods for estimating the cointegration rank in integrated vector autoregressive systems of unknown autoregressive order driven by heteroskedastic shocks. We allow for both conditional and unconditional heteroskedasticity of a very general form. We establish the conditions required on the penalty functions such that standard information criterion-based methods, such as the Bayesian information…