THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
推导了使用赤池信息准则时多元模型协整秩估计量的渐近分布，发现该准则会导致估计严重向上偏误，因此不建议使用。
We derive the asymptotic distribution of the estimate of the cointegration rank of a multivariate model when Akaike's information criterion is used. It is shown that the use of this criterion is ill-advised given that the estimate is severely upward biased even asymptotically.I thank the editor, Professor Peter Phillips, and three anonymous referees for comments and suggestions that improved this paper significantly. All remaining errors are my own.