Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence
AbstractThe performance of the FPE, AIC, HQ and SC criteria in choosing lag-length, and the effect on the impulse-response functions, are studied in a Monte Carlo simulation. The experiments include stationary, cointegrated, and mixed unit root VAR and MA cases.
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Bibliographic InfoPaper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 1999 Annual meeting, August 8-11, Nashville, TN with number 21526.
Date of creation: 1999
Date of revision:
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Statistical selection criteria; cointegration; mixed unit roots; impulse response functions; small sample properties; Research Methods/ Statistical Methods;
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Cowles Foundation Discussion Papers
1102, Cowles Foundation for Research in Economics, Yale University.
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