Optimal Lag Structure Selection in VEC-Models

DOI10.1016/S0573-8555(04)69009-2MaRDI QIDQ5292188zbMATH OpenFDO

Authors Peter Winker, Dietmar G. Maringer

Publication date 19 June 2007

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

Full work available at URL https://doi.org/10.1016/S0573-8555(04)69009-2

zbMATH Keywords

cointegration rankmodel selectionorder selectionreduced rank regressionVECM

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(8)

• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Variable selection in regression models using nonstandard optimisation of information criteria
• Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
• Optimized multivariate lag structure selection
• Identification of multivariate AR-models by threshold accepting
• 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

Describes a project that uses

Uses Software

• PcGets

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