Re: [R] Model selection in nonstationary VAR

2013-02-23 Thread Uwe Ligges
On 23.02.2013 19:33, Arun Kumar Saha wrote: which method in statistics is completely free from model misspecification? The data. Uwe Ligges Thanks and regards, _ Arun Kumar Saha, FRM QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Vis

Re: [R] Model selection in nonstationary VAR

2013-02-23 Thread Arun Kumar Saha
which method in statistics is completely free from model misspecification? Thanks and regards, _ Arun Kumar Saha, FRM QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Visit me at: http://in.linkedin.com/in/ArunFRM __

[R] Model selection in nonstationary VAR

2013-02-22 Thread M M
Folks, Is there any implementation available in R for the simultaneous selection of lag order and rank of a nonstationary VAR as described in Chao & Phillips (1999): Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, J. Econ. (91). Or any othe