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Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères


Author Info

  • Alexandre Mathis
  • Georges Fiori
  • Claude Deniau


[ger] Festlegung der Anzahl Verzögerungen in einem VAR-Modell. Die Wahl der Kriterien und ihre möglichen Auswirkungen, . von Claude Deniau, Georges Fiori, Alexandre Mathis.. . Gegenstand dieses Artikels ist die Wahl der Anzahl der Verzögerungen, die in vektoriellen autoregressiven Darstellungen zu berücksichtigen sind. Anhand der drei Variablen Währung, realer Zinssatz und Produktion wird anschließend die Zuverlässigkeit der erhaltenen Ergebnisse untersucht. [spa] Selección del núméro de retrasos en un modelo VAR : consecuencias posibles de la opción de criterios, . por Claude Deniau, Georges Fiori y Alexandre Mathis.. . Este trabajo está dedicado a la determinación del número de retrasos que cabe tener en cuenta en las representaciones autorregresivas vectoriales. Se examina la sensibilidad de los resultados obtenidos en consideración a un conjunto de très variables que corresponden a la moneda, al tipo de interés real y la producción. [eng] Selection of the Number of Lags in a VAR Model Possible Consequences on the Choice of Criteria, . by Claude Deniau, Georges Fiori and Alexandre Mathis.. . This work deals with determining the number of lags to be taken into account in auto-regressive vectorial representations. The sensitivity of the results obtained is examined for a set of three variables covering currency, the real interest rate and production. [fre] Sélection du nombre de retards dans un modèle VAR conséquences éventuelles du choix des critères, . par Claude Deniau, Georges Fiori, Alexandre M athis.. . Ce travail s'intéresse à la détermination du nombre de retards à prendre en compte dans des représentations autorégressives vectorielles. La sensibilité des résultats obtenus est examinée sur un ensemble de trois variables comprenant la monnaie, le taux d'intérêt réel et la production.

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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 106 (1992)
Issue (Month): 5 ()
Pages: 61-69

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5315

Note: DOI:10.3406/ecop.1992.5315
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  1. Hafer, R W & Sheehan, Richard G, 1991. "Policy Inference Using VAR Models," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 29(1), pages 44-52, January.
  2. Christopher A. Sims, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," NBER Working Papers 0430, National Bureau of Economic Research, Inc.
  3. Thornton, Daniel L & Batten, Dallas S, 1985. "Lag-Length Selection and Tests of Granger Causality between Money and Income," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 17(2), pages 164-78, May.
  4. Alexandre Mathis & Georges Fiori & Claude Deniau, 1989. "Impact de la dette publique sur quelques variables macroéconomiques françaises," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 90(4), pages 87-95.
  5. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, Elsevier, vol. 16(1), pages 162-162, May.
  6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  7. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 21(2), pages 161-194, February.
  8. Kang, Heejoon, 1989. "The optimal lag selection and transfer function analysis in Granger causality tests," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 13(2), pages 151-169, April.
  9. Caines, P. E. & Keng, C. W. & Sethi, S. P., 1981. "Causality analysis and multivariate Autoregressive modelling with an application to supermarket sales analysis," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 3(1), pages 267-298, November.
  10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
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Cited by:
  1. Cyriac Guillaumin & Guillaume Vallet, 2011. "La Suisse et la zone euro : votre monnaie, notre problème ? La possibilité d'un ancrage de jure," Post-Print halshs-00641224, HAL.
  2. Enrique M. Quilis(1), . "Modelos Bvar: Especificación, Estimación E Inferencia," Working Papers 8-02 Classification-JEL :, Instituto de Estudios Fiscales.


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