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Order determination in general vector autoregressions

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  • Bent Nielsen

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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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2001-W10.

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Date of creation: 01 Jul 2001
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Handle: RePEc:oxf:wpaper:2001-w10

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Cited by:
  1. 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.
  2. Bent Nielsen, 2005. "Analysis of co-explosive processes," Economics Series Working Papers 2005-W08, University of Oxford, Department of Economics.
  3. Fouquet, Roger, 2012. "Trends in income and price elasticities of transport demand (1850–2010)," Energy Policy, Elsevier, vol. 50(C), pages 62-71.
  4. Peter C.B. Phillips, 2008. "Unit Root Model Selection," Cowles Foundation Discussion Papers 1653, Cowles Foundation for Research in Economics, Yale University.
  5. Xu Cheng & Peter C.B. Phillips, 2008. "Semiparametric Cointegrating Rank Selection," Cowles Foundation Discussion Papers 1658, Cowles Foundation for Research in Economics, Yale University.
  6. repec:ebl:ecbull:v:30:y:2010:i:1:p:450-460 is not listed on IDEAS
  7. B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
  8. Eric Engler & Bent Nielsen, 2007. "The empirical process of autoregressive residuals," Economics Series Working Papers 2007-W01, University of Oxford, Department of Economics.
  9. 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.
  10. 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.
  11. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers 033, Department of Economics - University of Zurich.
  12. Roger Fouquet, 2013. "Long Run Demand for Energy Services: the Role of Economic and Technological Development," Working Papers 2013-03, BC3.
  13. 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.
  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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