no code implementations • 5 Feb 2022 • H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis, A. M. Robert Taylor
We show that adaptive information criteria-based approaches can be used to estimate the autoregressive lag order to use in connection with bootstrap adaptive PLR tests, or to jointly determine the co-integration rank and the VAR lag length and that in both cases they are weakly consistent for these parameters in the presence of non-stationary volatility provided standard conditions hold on the penalty term.
