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THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION

Published online by Cambridge University Press:  01 August 2004

George Kapetanios
George Kapetanios
Affiliation:
Queen Mary University of London
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Abstract

We derive the asymptotic distribution of the estimate of the cointegration rank of a multivariate model when Akaike's information criterion is used. It is shown that the use of this criterion is ill-advised given that the estimate is severely upward biased even asymptotically.I thank the editor, Professor Peter Phillips, and three anonymous referees for comments and suggestions that improved this paper significantly. All remaining errors are my own.

Type
MISCELLANEA
Information
Econometric Theory , Volume 20 , Issue 4 , August 2004 , pp. 735 - 742
Copyright
© 2004 Cambridge University Press

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References

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