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Model selection for causal models: The global procedure with AICC and AICU

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  • Lee, Shyan-Yuan
  • Tsai, Chih-Ling

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  • Lee, Shyan-Yuan & Tsai, Chih-Ling, 1998. "Model selection for causal models: The global procedure with AICC and AICU," Global Finance Journal, Elsevier, vol. 9(2), pages 205-223.
    • Handle: RePEc:eee:glofin:v:9:y:1998:i:2:p:205-223
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    1. Boughton, James M., 1987. "Tests of the performance of reduced-form exchange rate models," Journal of International Economics, Elsevier, vol. 23(1-2), pages 41-56, August.
    2. Miller, Stephen M, 1991. "Monetary Dynamics: An Application of Cointegration and Error-Correction Modeling," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 139-154, May.
    3. Mohsen Bahmani-Oskooee, 1992. "What Are the Long-Run Determinants of the U.S. Trade Balance?," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 15(1), pages 85-97, September.
    4. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    5. Batten, Dallas S. & Thornton, Daniel L., 1984. "Discount rate changes and the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 279-292, December.
    6. Clifford M. Hurvich & Chih‐Ling Tsai, 1993. "A Corrected Akaike Information Criterion For Vector Autoregressive Model Selection," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(3), pages 271-279, May.
    7. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    8. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    9. James M. Boughton, 1988. "Exchange Rates and the Term Structure of Interest Rates," IMF Staff Papers, Palgrave Macmillan, vol. 35(1), pages 36-62, March.
    10. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    11. Lafrance, Robert & Racette, Daniel, 1985. "The Canadian-US dollar exchange rate: A test of alternative models for the seventies," Journal of International Money and Finance, Elsevier, vol. 4(2), pages 237-252, June.
    12. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    13. McQuarrie, Allan & Shumway, Robert & Tsai, Chih-Ling, 1997. "The model selection criterion AICu," Statistics & Probability Letters, Elsevier, vol. 34(3), pages 285-292, June.
    14. Mohsen Bahmani-Oskooee, 1995. "The Long-Run Determinants of the U.S. Trade Balance Revisited," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 17(3), pages 457-465, March.
    15. Hsiao, Cheng, 1981. "Autoregressive modelling and money-income causality detection," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 85-106.
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