Lag length and mean break in stationary VAR models
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Publication:4416014
DOI10.1111/1368-423X.00089zbMATH Open1018.62069MaRDI QIDQ4416014FDOQ4416014
Authors: Minxian Yang 
Publication date: 7 August 2003
Published in: Econometrics Journal (Search for Journal in Brave)
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Cites Work
- Exact tests in single equation autoregressive distributed lag models
- Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
- OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
- Forecasting Economic Time Series
- On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.
Cited In (8)
- VAR forecasting under misspecification
- The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
- ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
- Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
- Mean lag in general error correction models
- Selection in VAR-models using equal and unequal lag-length procedures
- Fractional Bayesian lag length inference in multivariate autoregressive processes
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