Folks, Is there any implementation available in R for the simultaneous selection of lag order and rank of a nonstationary VAR as described in Chao & Phillips (1999): Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, J. Econ. (91). Or any other systematic procedure for the consistent selection of lag order and cointegration rank? I understand that the usual procedure of first selecting the lag order (by AIC, etc.) and then the rank (by Johansen) can result in misspecification. Thanks, Murali [[alternative HTML version deleted]]
which method in statistics is completely free from model misspecification? Thanks and regards, _____________________________________________________ Arun Kumar Saha, FRM QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Visit me at: http://in.linkedin.com/in/ArunFRM _____________________________________________________ [[alternative HTML version deleted]]
On 23.02.2013 19:33, Arun Kumar Saha wrote:> which method in statistics is completely free from model misspecification?The data. Uwe Ligges> > Thanks and regards, > _____________________________________________________ > > Arun Kumar Saha, FRM > QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST > Visit me at: http://in.linkedin.com/in/ArunFRM > _____________________________________________________ > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >