Optimized multivariate lag structure selection

DOI10.1023/A:1008757620685MaRDI QIDQ5929105zbMATH OpenOpenAlexFDO

Authors Peter Winker

Publication date 17 April 2001

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1008757620685

zbMATH Keywords

heuristic optimizationidentificationmodel selectionthreshold acceptingVAR

Mathematics Subject Classification ID

Mathematical economics (91B99)

Recommendations

• Identification of multivariate AR-models by threshold accepting
• Optimal Lag Structure Selection in VEC-Models
• Fractional Bayesian lag length inference in multivariate autoregressive processes
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Selection in VAR-models using equal and unequal lag-length procedures

Cited in

(10)

• Variable selection in regression models using nonstandard optimisation of information criteria
• Improving the computation of censored quantile regressions
• On the simultaneous estimation of delay model parameters in economic dynamics
• Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance
• Optimal Lag Structure Selection in VEC-Models
• Model identification of ARIMA family using genetic algorithms
• Identification of multivariate AR-models by threshold accepting
• Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process
• Optimal aggregation of linear time series models
• The convergence of estimators based on heuristics: theory and application to a GARCH model

This page was built for publication: Optimized multivariate lag structure selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5929105)