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Query: faculty: "FEB" and publication year: "2003"

AuthorP.H. Omtzigt
TitleAutomatic identification and restriction of the cointegration space
PublisherDepartment of Quantitative Economics
PlaceAmsterdam
Year2003
Pages22
Title seriesUvA Econometrics Discussion Paper
Series number2002/16
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractWe automate the process of finding the cointegration relations in a cointegrated VAR. There is a rigorous separation between the theory part (search directions must be defined, a final model chosen) and the automated search. The decision rules are set in such a way that a theoretical upper limit can be given to the asymptotic size of recovering all overidentifying restrictions. A Monte Carlo study shows that the algorithm works well, but that the properties of the asymptotic tests are rather poor at times. The software (in Matlab) to execute the algorithm is available.
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