Automatic identification and restriction of the cointegration space
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- Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003 105, Royal Economic Society.
- David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Papers 2003-W14, Economics Group, Nuffield College, University of Oxford.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates," Textos para discussão 401, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Hans‐Martin Krolzig, 2003.
"General‐to‐Specific Model Selection Procedures for Structural Vector Autoregressions,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 769-801, December.
- Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford.
- Peter Winker & Dietmar Maringer, 2004.
"Optimal Lag Structure Selection in VEC-Models,"
Contributions to Economic Analysis, in: New Directions in Macromodelling, pages 213-234,
Emerald Group Publishing Limited.
- Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2003-05-16 (Econometrics)
- NEP-ETS-2003-05-15 (Econometric Time Series)
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