- Home
- Publications
- Information Criteria, Model Selection Uncertainty And The Determination Of Cointegration Rank
Information Criteria, Model Selection Uncertainty and the Determination of Cointegration Rank
Pub. Date
23 May, 2000
Pub. Type
Related Themes
Macro-Economic Modelling and ForecastingPaper Category Number
166
The determination of the cointegration rank of a multivariate cointegrated system is usually carried out assuming that the lag order of the vector autoregressive process representing the multivariate system is known. Since such an assumption is unlikely to hold in reality, the question of how the lag order selection may affect the determination of the cointegration rank arises. This paper aims to address this question in a Monte Carlo framework. Additionally, we provide a formal justification for the application of model selection criteria in selecting the cointegration rank.
Related Blog Posts
Blog
Inflation Still Likely to Fall to 2 per cent or Below Next Month
Huw Dixon
17 Apr 2024
8 min read
Blog
What is the Current State of the UK Economy?
Paula Bejarano Carbo
Stephen Millard
26 Feb 2024
7 min read
Related Projects
Related News
news
Why it’s not worth worrying that the UK has technically entered a recession
26 Feb 2024
4 min read
Related Publications
Related events
Summer 2023 Economic Forum
NIESR is delighted to bring to you our latest Economic Forum where we presented our forecast for the next economic quarter. With inflation remaining stubbornly high, a labour market that...
11:00 to 12:00
11 August, 2023
Spring 2023 Economic Forum
NIESR is delighted to bring to you our latest Economic Forum where we present our forecast for the next economic quarter. As King Charles III is officially crowned, and the...
11:00 to 12:00
12 May, 2023
Winter 2023 Economic Forum
With recent UK GDP figures prompting a cautious optimism amongst some analysts, the question has arisen around whether the UK can avoid a recession? Was the 0.1% growth in November...
11:00 to 12:00
10 February, 2023
Autumn 2022 Economic Forum
Join us, the day after the Chancellor’s autumn statement, to hear our analysis of the measures announced and their likely impact at both a UK, and individual household, level. Utilising...
11:30 to 12:30
18 November, 2022
Summer 2022 Economic Forum
We are delighted to invite you to our Summer 2022 Economic Forecast, where we will present and discuss NIESR’s latest forecasts on the UK and global economies, with an opportunity...
11:00 to 12:00
5 August, 2022
Spring 2022 Economic Forum
We are delighted to invite you to our Spring 2022 Economic Forecast, at which we will present and discuss NIESR’s latest forecasts on the UK and global economies, with an...
11:00 to 12:00
13 May, 2022
Winter 2022 Economic Forum
With rising inflation asking questions of central banks, consumer incomes hit by rising energy prices and Omicron continuing to disrupt the supply of both goods and labour, what does the...
11:00 to 12:00
11 February, 2022
Autumn 2021 Economic Forum
We are delighted to invite you to our Autumn 2021 Economic Forum, at which we will present and discuss NIESR’s latest forecasts on the UK and global economies, with an opportunity for you to ask questions.
11:00 to 12:00
12 November, 2021