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Identification of multivariate AR-models by threshold accepting

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  • Winker, Peter

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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 20 (1995)
Issue (Month): 3 (September)
Pages: 295-307

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Handle: RePEc:eee:csdana:v:20:y:1995:i:3:p:295-307

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  1. Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, Elsevier, vol. 5(3), pages 265-293, May.
  2. Hsiao, Cheng, 1981. "Autoregressive modelling and money-income causality detection," Journal of Monetary Economics, Elsevier, Elsevier, vol. 7(1), pages 85-106.
  3. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
  4. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
  5. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
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Cited by:
  1. Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong & Jing Wang, 2011. "SAFE: An early warning system for systemic banking risk," Working Paper 1129, Federal Reserve Bank of Cleveland.
  2. Manfred GILLI & Peter WINKER, . "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 08-12, Swiss Finance Institute.
  3. Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004, Society for Computational Economics 155, Society for Computational Economics.
  4. H. Glendinning, Richard, 2001. "Selecting sub-set autoregressions from outlier contaminated data," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 36(2), pages 179-207, April.
  5. John S.nChipman & Peter Winker, . "Optimal Industrial Classification in a Dynamic Model of Price Adjustment," Computing in Economics and Finance 1996 _013, Society for Computational Economics.
  6. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 47(2), pages 211-223, September.
  7. Ivan Savin & Peter Winker, 2012. "Lasso-type and Heuristic Strategies in Model Selection and Forecasting," Jena Economic Research Papers 2012-055, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  8. Sachs, Andreas & Schleer, Frauke, 2013. "Labour market performance in OECD countries: A comprehensive empirical modelling approach of institutional interdependencies," ZEW Discussion Papers 13-040, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  9. Gatu, Cristian & Kontoghiorghes, Erricos J. & Gilli, Manfred & Winker, Peter, 2008. "An efficient branch-and-bound strategy for subset vector autoregressive model selection," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(6), pages 1949-1963, June.
  10. Kapetanios, George, 2007. "Variable selection in regression models using nonstandard optimisation of information criteria," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(1), pages 4-15, September.
  11. Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(1), pages 2-3, September.

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