{"id":"https://openalex.org/W2043945083","doi":"https://doi.org/10.1017/s0266466605050334","title":"A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA","display_name":"A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA","publication_year":2005,"publication_date":"2005-04-22","ids":{"openalex":"https://openalex.org/W2043945083","doi":"https://doi.org/10.1017/s0266466605050334","mag":"2043945083"},"language":"en","primary_location":{"id":"doi:10.1017/s0266466605050334","doi":"https://doi.org/10.1017/s0266466605050334","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0266466605050334","pdf_url":null,"source":{"id":"https://openalex.org/S49389958","display_name":"Econometric Theory","issn_l":"0266-4666","issn":["0266-4666","1469-4360"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","erih-plus","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometric Theory","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100729842","display_name":"Zijun Wang","orcid":"https://orcid.org/0000-0002-7674-1353","observed_orcids":["https://orcid.org/0000-0002-7674-1353"]},"institutions":[{"id":"https://openalex.org/I91045830","display_name":"Texas A&M University","ror":"https://ror.org/01f5ytq51","country_code":"US","type":"education","lineage":["https://openalex.org/I91045830"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Zijun Wang","raw_affiliation_strings":["Texas A&M University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Texas A&M University","institution_ids":["https://openalex.org/I91045830"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5057642738","display_name":"David A. Bessler","orcid":"https://orcid.org/0000-0002-4567-9251","observed_orcids":["https://orcid.org/0000-0002-4567-9251"]},"institutions":[{"id":"https://openalex.org/I91045830","display_name":"Texas A&M University","ror":"https://ror.org/01f5ytq51","country_code":"US","type":"education","lineage":["https://openalex.org/I91045830"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"David A. Bessler","raw_affiliation_strings":["Texas A&M University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Texas A&M University","institution_ids":["https://openalex.org/I91045830"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I91045830"],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":6.2009,"has_fulltext":false,"cited_by_count":57,"citation_normalized_percentile":{"value":0.96309184,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"21","issue":"03","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.7782999873161316,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.7782999873161316,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.06909999996423721,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T13370","display_name":"Diverse Scientific and Economic Studies","score":0.05550000071525574,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cointegrating-rank","display_name":"cointegrating rank","score":0.9449999928474426},{"id":"https://openalex.org/keywords/information-criteria","display_name":"information criteria","score":0.9890000224113464},{"id":"https://openalex.org/keywords/akaike-information-criterion","display_name":"Akaike information criterion","score":0.9980000257492065},{"id":"https://openalex.org/keywords/bayesian-information-criterion","display_name":"Bayesian information criterion","score":0.9879999756813049},{"id":"https://openalex.org/keywords/trace-test","display_name":"trace test","score":0.6710000038146973},{"id":"https://openalex.org/keywords/vector-autoregression","display_name":"vector autoregression","score":0.777999997138977},{"id":"https://openalex.org/keywords/lag-length-selection","display_name":"lag selection","score":0.9800000190734863},{"id":"https://openalex.org/keywords/small-sample-properties","display_name":"small sample properties","score":0.546999990940094},{"id":"https://openalex.org/keywords/nonstationary-processes","display_name":"non-stationary processes","score":0.671999990940094}],"concepts":[{"id":"https://openalex.org/C126674687","wikidata":"https://www.wikidata.org/wiki/Q1662573","display_name":"Akaike information criterion","level":2,"score":0.9190627336502075},{"id":"https://openalex.org/C164226766","wikidata":"https://www.wikidata.org/wiki/Q7293202","display_name":"Rank (graph theory)","level":2,"score":0.7654600143432617},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7377759218215942},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6517320275306702},{"id":"https://openalex.org/C75291252","wikidata":"https://www.wikidata.org/wiki/Q1315756","display_name":"TRACE (psycholinguistics)","level":2,"score":0.6140815019607544},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5601629018783569},{"id":"https://openalex.org/C2776709221","wikidata":"https://www.wikidata.org/wiki/Q6031040","display_name":"Information Criteria","level":3,"score":0.5554644465446472},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5218538045883179},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.47496721148490906},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.44389891624450684},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.4347694516181946},{"id":"https://openalex.org/C75778745","wikidata":"https://www.wikidata.org/wiki/Q342626","display_name":"Lag","level":2,"score":0.41113972663879395},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.3833434581756592},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.12111324071884155},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C31258907","wikidata":"https://www.wikidata.org/wiki/Q1301371","display_name":"Computer network","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1017/s0266466605050334","doi":"https://doi.org/10.1017/s0266466605050334","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0266466605050334","pdf_url":null,"source":{"id":"https://openalex.org/S49389958","display_name":"Econometric Theory","issn_l":"0266-4666","issn":["0266-4666","1469-4360"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","erih-plus","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometric Theory","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:cup:etheor:v:21:y:2005:i:03:p:593-620_05","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0266466605050334/type/journal_article","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W206177690","https://openalex.org/W1495321787","https://openalex.org/W1502173616","https://openalex.org/W1914946106","https://openalex.org/W1963599873","https://openalex.org/W1965882534","https://openalex.org/W1979897566","https://openalex.org/W1989628347","https://openalex.org/W1994110039","https://openalex.org/W2004021760","https://openalex.org/W2007662280","https://openalex.org/W2012695865","https://openalex.org/W2017873498","https://openalex.org/W2022540296","https://openalex.org/W2026744322","https://openalex.org/W2027905563","https://openalex.org/W2034623207","https://openalex.org/W2034707435","https://openalex.org/W2052864776","https://openalex.org/W2052898610","https://openalex.org/W2058815839","https://openalex.org/W2070173743","https://openalex.org/W2072440899","https://openalex.org/W2072472224","https://openalex.org/W2077262772","https://openalex.org/W2087250405","https://openalex.org/W2087445659","https://openalex.org/W2093513340","https://openalex.org/W2094621916","https://openalex.org/W2096629519","https://openalex.org/W2097580026","https://openalex.org/W2103311280","https://openalex.org/W2110603299","https://openalex.org/W2116699268","https://openalex.org/W2119343864","https://openalex.org/W2126322608","https://openalex.org/W2131733003","https://openalex.org/W2146855196","https://openalex.org/W2150541671","https://openalex.org/W2153562738","https://openalex.org/W2154598382","https://openalex.org/W2165779214","https://openalex.org/W2169246903","https://openalex.org/W4249160806"],"related_works":["https://openalex.org/W2114625140","https://openalex.org/W1968886786","https://openalex.org/W2607006239","https://openalex.org/W304661108","https://openalex.org/W27999001","https://openalex.org/W2509820422","https://openalex.org/W2033907215","https://openalex.org/W3122388856","https://openalex.org/W1989113356","https://openalex.org/W2166954039"],"abstract_inverted_index":{"We":[0,134,153],"conduct":[1],"Monte":[2],"Carlo":[3],"simulations":[4],"to":[5,24,40,58,99,123,165],"evaluate":[6],"the":[7,45,60,102,114,119,140,150,179],"use":[8],"of":[9,95,101,143],"information":[10,13,18,36,54,156],"criteria":[11,37,55,157],"(Akaike":[12],"criterion":[14,19],"[AIC]":[15],"and":[16,63,113,146,169],"Schwarz":[17],"[SC])":[20],"as":[21],"an":[22,72,170],"alternative":[23],"various":[25],"probability-based":[26],"tests":[27,76],"for":[28,77,173],"determining":[29],"cointegrating":[30,42,64,147],"rank":[31,43,65,148],"in":[32,48,82,90],"multivariate":[33],"analysis.":[34],"First,":[35],"are":[38,56,121,163],"used":[39,57],"determine":[41,59],"given":[44],"lag":[46,61,144],"order":[47,62,145],"a":[49],"levels":[50],"vector":[51],"autoregression.":[52],"Second,":[53],"simultaneously.":[66],"Results":[67],"show":[68],"that":[69,100,138,155],"AIC":[70,85,112],"has":[71],"advantage":[73],"over":[74],"trace":[75,103,115],"cointegrated":[78],"or":[79,126],"stationary":[80],"processes":[81],"small":[83],"samples.":[84,92],"does":[86],"not":[87],"perform":[88],"well":[89],"large":[91,108,129],"The":[93],"performance":[94],"SC":[96,105,151],"is":[97],"close":[98,122],"test.":[104],"shows":[106],"better":[107],"sample":[109],"results":[110],"than":[111],"test,":[116],"even":[117],"if":[118],"series":[120,125],"nonstationary":[124],"they":[127],"contain":[128],"negative":[130],"moving":[131],"average":[132],"components.":[133],"also":[135],"find":[136],"evidence":[137],"supports":[139],"joint":[141],"estimation":[142],"by":[149],"criterion.":[152],"conclude":[154],"can":[158],"complement":[159],"traditional":[160],"parametric":[161],"tests.We":[162],"grateful":[164],"Peter":[166],"C.B.":[167],"Phillips":[168],"anonymous":[171],"referee":[172],"their":[174],"comments,":[175],"which":[176],"significantly":[177],"improved":[178],"paper.":[180]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":5}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2025-10-10T00:00:00"}
