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Lag Length Estimation in Large Dimensional Systems

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Author Info
Jesus Gonzalo (Universidad Carlos III de Madrid)
Jean-Yves Pitarakis (The University of Reading)

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Abstract

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File URL: http://129.3.20.41/eps/em/papers/0108/0108002.pdf
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Paper provided by EconWPA in its series Econometrics with number 0108002.

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Date of creation: 31 Aug 2001
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Handle: RePEc:wpa:wuwpem:0108002

Note: Type of Document - pdf; prepared on IBM PC; to print on pdf
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Web page: http://129.3.20.41

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Related research
Keywords: subliminal extant Smith economagic gmm

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

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  1. Ahmad Zubaidi Baharumshah & Evan Lau & Ahmed M. Khalid, 2005. "Testing Twin Deficits Hypothesis: Using VARs and Variance Decomposition," International Finance 0504001, EconWPA. [Downloadable!]
  2. Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics. [Downloadable!]
  3. Lau, Evan & Puah, Chin-Hong & Oh, Swee-Ling & Lo, Yan-Ching, 2008. "Causality between White Pepper and Black Pepper: Evidence from Six Markets in Sarawak," MPRA Paper 6552, University Library of Munich, Germany. [Downloadable!]
  4. Liwan, Audrey & Lau, Evan, 2007. "Managing Growth: The Role of Export, Inflation and Investment in three ASEAN Neighboring Countries," MPRA Paper 3952, University Library of Munich, Germany. [Downloadable!]
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  5. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics. [Downloadable!]
  6. Alfredo Garcia-Hiernaux & Jose Casals & Miguel Jerez, 2007. "Estimating The System Order By Subspace Methods," Statistics and Econometrics Working Papers ws070301, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  7. Bariyah, Nurul & Lau, Evan, 2008. "Long Run Sustainability of Sarawak- West Kalimantan Cross-Border Trade Flows," MPRA Paper 7339, University Library of Munich, Germany. [Downloadable!]
  8. Jean-Yves Pitarakis, 2006. "Model Selection Uncertainty and Detection of Threshold Effects," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(1), pages 1256-1256. [Downloadable!] (restricted)
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This page was last updated on 2008-10-3.

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