Optimal Lag Structure Selection in VEC-Models

DOI10.1016/S0573-8555(04)69009-2zbMath1284.91478MaRDI QIDQ5292188

Peter Winker, Dietmar G. Maringer

Publication date: 19 June 2007

Published in: Contributions to Economic Analysis (Search for Journal in Brave)

zbMATH Keywords

model selectionVECMcointegration rankreduced rank regressionorder selection

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (5)

An efficient branch-and-bound strategy for subset vector autoregressive model selection ⋮ On the specification and estimation of large scale simultaneous structural macroeconometric models ⋮ The convergence of estimators based on heuristics: theory and application to a GARCH model ⋮ Bayesian learning of graphical vector autoregressions with unequal lag-lengths ⋮ Variable selection in regression models using nonstandard optimisation of information criteria

Uses Software

• PcGets

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