Consistent co-trending rank selection when both stochastic and non-linear deterministic trends are present

This paper proposes a model-free co-trending rank selection procedure based on the eigenstructure of a multivariate version of the von Neumann ratio in the presence of both stochastic and non-linear deterministic trends. Our selection criteria can be easily implemented, and the consistency of the ra...

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Bibliographic Details
Published inThe econometrics journal Vol. 16; no. 3; pp. 473 - 484
Main Authors Guo, Zheng-Feng, Shintani, Mototsugu
Format Journal Article
LanguageEnglish
Published Oxford Blackwell Publishing Ltd 01.10.2013
Royal Economic Society and John Wiley & Sons Ltd
Oxford University Press
Subjects
Cointegrating rank
Econometrics
Economic models
Economic statistics
Economic theory
Generalized linear models
Multivariate analysis
Non-linear models
Simulation
Smooth transition trend model
Stochastic models
Stochastic processes
Studies
Trend breaks
Trends
von Neumann ratio
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Summary:This paper proposes a model-free co-trending rank selection procedure based on the eigenstructure of a multivariate version of the von Neumann ratio in the presence of both stochastic and non-linear deterministic trends. Our selection criteria can be easily implemented, and the consistency of the rank estimator is established under very general conditions. Simulation results suggest good finite sample properties of the new rank selection criteria.
Bibliography:istex:38112E30ACBFEF3DE21EE2ACFC4BBACA46E135AD
ArticleID:ECTJ392
ark:/67375/WNG-XQGBLKBF-2
ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1368-4221
1368-423X
DOI:10.1111/j.1368-423X.2012.00392.x