Focused information criterion for locally misspecified vector autoregressive models
DOI10.1080/07474938.2017.1409410zbMath1490.62260OpenAlexW2772971002MaRDI QIDQ5860943
Franz C. Palm, Jean-Pierre Urbain, Jan Lohmeyer, Hanno Reuvers
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2017.1409410
model selectionlocal misspecificationmodel uncertaintyimpulse responsesfrequentist model averagingvector autoregressive modelsfocused information criteria
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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