Comparison of procedures for fitting the autoregressive order of a vector error correction model

DOI10.1080/00949655.2011.583652zbMath1431.62416MaRDI QIDQ4925433

Hamdi Raïssi

Publication date: 12 June 2013

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

Full work available at URL: https://doi.org/10.1080/00949655.2011.583652

zbMATH Keywords

model selection; cointegration; information criteria; vector error correction model; autocorrelation tests

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

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Cites Work

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