SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
提出一类惩罚似然准则，用于同时确定向量自回归模型中协整空间的秩、滞后阶数和截距形式，并证明了该准则的一致性。
In this paper we consider a family of penalized likelihood criteria for determining the rank of the cointegration space, the number of lags, and the form of the intercept in vector autoregressions with possibly integrated processes. The paper provides a general consistency result for a class of model determination procedures in which the penalty depends on a simple parameter count only.