Athanasopoulos, George; Guillén, Osmani Teixeira de … - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2010
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties as well...