Athanasopoulos, George; Carvalho Guillén, Osmani … - In: Journal of Econometrics 164 (2011) 1, pp. 116-129
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 suggest a new two-step model selection procedure which is a hybrid of...