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.
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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
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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)
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