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Order determination in general vector autoregressions

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Abstract

In 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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File URL: http://www.nuff.ox.ac.uk/Economics/papers/2001/w10/NielsenOrder.pdf
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Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W10.

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Length: 14 pages
Date of creation: 12 Jul 2001
Date of revision:
Handle: RePEc:nuf:econwp:0110

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Web page: http://www.nuff.ox.ac.uk/economics/

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Cited by:
  1. Peter C.B. Phillips, 2008. "Unit Root Model Selection," Cowles Foundation Discussion Papers 1653, Cowles Foundation for Research in Economics, Yale University.
  2. Roger Fouquet, 2012. "Trends in Income and Price Elasticities of Transport Demand (1850-2010)," Working Papers 2012-01, BC3.
  3. E ric E ngler & B ent N ielsen, 2009. "The empirical process of autoregressive residuals," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 367-381, 07.
  4. Roger Fouquet & Peter J.G. Pearson, 2012. "The Long Run Demand for Lighting:Elasticities and Rebound Effects in Different Phases of Economic Development," Economics of Energy & Environmental Policy, International Association for Energy Economics, vol. 0(Number 1).
  5. Xu Cheng & P eter C. B. Phillips, 2009. "Semiparametric cointegrating rank selection," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages S83-S104, 01.
  6. 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.
  7. 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.
  8. Roger Fouquet, 2013. "Long Run Demand for Energy Services: the Role of Economic and Technological Development," Working Papers 2013-03, BC3.
  9. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
  10. Nielsen, Bent, 2010. "Analysis Of Coexplosive Processes," Econometric Theory, Cambridge University Press, vol. 26(03), pages 882-915, June.
  11. repec:ebl:ecbull:v:30:y:2010:i:1:p:450-460 is not listed on IDEAS
  12. Zorica Mladenovic & Bent Nielsen, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Papers 2009-W02, Economics Group, Nuffield College, University of Oxford.
  13. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
  14. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.

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