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Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
http://hdl.handle.net/10086/16312
http://hdl.handle.net/10086/163124a6b3a09-20f4-4813-9cfa-0a597068e222
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
gd08-006.pdf (448296 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||||||
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| 公開日 | 2017-05-20 | |||||||||||||
| タイトル | ||||||||||||||
| タイトル | Model Selection Criteria for the Leads-and-Lags Cointegrating Regression | |||||||||||||
| 言語 | en | |||||||||||||
| 作成者 |
Choi, In
× Choi, In
× 黒住, 英司
WEKO
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| 寄与者 | ||||||||||||||
| 寄与者タイプ | Editor | |||||||||||||
| 姓名 | 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences | |||||||||||||
| 言語 | en | |||||||||||||
| アクセス権 | ||||||||||||||
| アクセス権 | open access | |||||||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | Cointegration | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | Leads-and-lags regression | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | AIC | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | Corrected AIC | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | BIC | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | Cp | |||||||||||||
| 内容記述 | ||||||||||||||
| 内容記述タイプ | Other | |||||||||||||
| 内容記述 | First Draft: April, 2008; Revised: August, 2008 | |||||||||||||
| 言語 | en | |||||||||||||
| 内容記述 | ||||||||||||||
| 内容記述タイプ | Abstract | |||||||||||||
| 内容記述 | In this paper, Mallows'(1973) Cp criterion, Akaike's (1973) AIC, Hurvich and Tsai's (1989) corrected AIC and the BIC of Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection criteria for the leads-and-lags regression is a nontrivial task since the true model is of infinite dimension. This paper justifies using the conventional formulas of those model selection criteria for the leads-and-lags cointegrating regression. The numbers of leads and lags can be selected in scientific ways using the model selection criteria. Simulation results regarding the bias and mean squared error of the long-run coefficient estimates are reported. It is found that the model selection criteria are successful in reducing bias and mean squared error relative to the conventional, fixed selection rules. Among the model selection criteria, the BIC appears to be most successful in reducing MSE, and Cp in reducing bias. We also observe that, in most cases, the selection rules without the restriction that the numbers of the leads and lags be the same have an advantage over those with it. | |||||||||||||
| 出版者 | ||||||||||||||
| 出版者 | Institute of Economic Research, Hitotsubashi University | |||||||||||||
| 日付 | ||||||||||||||
| 日付 | 2008-10 | |||||||||||||
| 日付タイプ | Issued | |||||||||||||
| 言語 | ||||||||||||||
| 言語 | eng | |||||||||||||
| 資源タイプ | ||||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||||||
| 資源タイプ | technical report | |||||||||||||
| 出版タイプ | ||||||||||||||
| 出版タイプ | VoR | |||||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||||
| 関連情報 | ||||||||||||||
| 関連タイプ | isPartOf | |||||||||||||
| 関連名称 | Global COE Hi-Stat Discussion Paper Series ; No. 6 | |||||||||||||
| ページ数 | ||||||||||||||
| ページ数 | 30 | |||||||||||||
| Sponsorship | ||||||||||||||
| 値 | グローバルCOEプログラム = Global COE Program | |||||||||||||
