Order determination in general vector autoregressions
AbstractIn the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. It is shown that these methods can be used regardless of the assumption to the characteristic roots.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W10.
Length: 14 pages
Date of creation: 12 Jul 2001
Date of revision:
Contact details of provider:
Web page: http://www.nuff.ox.ac.uk/economics/
Other versions of this item:
- Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Series Working Papers 2001-W10, University of Oxford, Department of Economics.
- NEP-ALL-2001-10-16 (All new papers)
- NEP-ECM-2001-10-16 (Econometrics)
- NEP-ETS-2001-10-16 (Econometric Time Series)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Roger Fouquet & Peter J.G Pearson, 2011. "The Long Run Demand for Lighting: Elasticities and Rebound Effects in Different Phases of Economic Development," Working Papers 2011-06, BC3.
- Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
- Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
- Bent Nielsen & Eric Engler, 2007.
"The empirical process of autoregressive residuals,"
2007-W01, Economics Group, Nuffield College, University of Oxford.
- Peter C.B. Phillips, 2008. "Unit Root Model Selection," Cowles Foundation Discussion Papers 1653, Cowles Foundation for Research in Economics, Yale University.
- repec:ebl:ecbull:v:30:y:2010:i:1:p:450-460 is not listed on IDEAS
- Xu Cheng & P eter C. B. Phillips, 2009.
"Semiparametric cointegrating rank selection,"
Royal Economic Society, vol. 12(s1), pages S83-S104, 01.
- Giese, Julia V., 2008.
"Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy, vol. 2(28), pages 1-20.
- Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics Discussion Papers 2008-13, Kiel Institute for the World Economy.
- Roger Fouquet, 2013. "Long Run Demand for Energy Services: the Role of Economic and Technological Development," Working Papers 2013-03, BC3.
- Zorica Mladenovic & Bent Nielsen, 2009.
"The role of income in money demand during hyper-inflation: the case of Yugoslavia,"
2009-W02, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen & Zorica Mladenovic, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Series Working Papers 2009-W02, University of Oxford, Department of Economics.
- Nielsen, Bent, 2010.
"Analysis Of Coexplosive Processes,"
Cambridge University Press, vol. 26(03), pages 882-915, June.
- B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
- Fouquet, Roger, 2012.
"Trends in income and price elasticities of transport demand (1850–2010),"
Elsevier, vol. 50(C), pages 62-71.
- Roger Fouquet, 2012. "Trends in Income and Price Elasticities of Transport Demand (1850-2010)," Working Papers 2012-01, BC3.
- Kurita, Takamitsu, 2010. "Empirical modeling of Japan's markup and inflation, 1976-2000," Journal of Asian Economics, Elsevier, vol. 21(6), pages 552-563, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett).
If references are entirely missing, you can add them using this form.