The selection of the order and identification of nonzero elements in the polynomial matrices of vector autoregressive processes

DOI10.1080/00949659908811933zbMath0919.62107WikidataQ126248056 ScholiaQ126248056MaRDI QIDQ4243922

Tarmo M. Pukkila, Sergio G. Koreisha

Publication date: 29 June 1999

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659908811933

zbMATH Keywords

Granger causality; parameter constraints; autoregressions; order determination criteria

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

62Q05: Statistical tables

Cites Work

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