Co-integration Rank Determination in Partial Systems Using Information Criteria

Co-integration rank determination in partial systems using information criteria

We investigate the asymptotic and finite sample properties of the most widely used information criteria for co-integration rank determination in ‘partial’ systems, i.e. in cointegrated Vector Autoregressive (VAR) models in which a sub-set of variables of interest is modeled conditional on another sub-set of variables. The asymptotic properties of the Akaike Information Criterion (AIC), the Baye...

Bootstrap Sequential Determination of the Co-integration Rank in VAR Models

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and nance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with empirical rejection frequencies often very much in excess of the nominal level. As a consequence, bootstrap ...

Rank Inclusion in Criteria

Determination of the Rank of an Integration Lattice

The continuing and widespread use of lattice rules for high-dimensional numerical quadrature is driving the development of a rich and detailed theory. Part of this theory is devoted to computer searches for rules, appropriate to particular situations. In some applications, one is interested in obtaining the (lattice) rank of a lattice rule Q(Λ) directly from the elements of a generator matrix B...

Parameter Estimation in Queueing Systems Using Partial Information

Waiting time and system time (waiting plus service time) data, adjusted for idle times when necessary, are used for estimating the parameters in GI/G/1 queues. The sampling plans presented use incomplete information on the differences between service and inter-arrival times rather than full information on service and inter-arrival times. A variation of the EM algorithm is proposed to derive par...