Specification via model selection in vector error correction models
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- Jesus Gonzalo & Jean-Yves Pitarakis, 2001.
"Lag Length Estimation in Large Dimensional Systems,"
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, EconWPA.
- GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994. "Comovements in Large Systems," CORE Discussion Papers 1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pitarakis, Jean-Yves & Gonzalo, Jesús, 1995. "Comovements in large systems," DES - Working Papers. Statistics and Econometrics. WS 5825, Universidad Carlos III de Madrid. Departamento de Estadística.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December. Full references (including those not matched with items on IDEAS)
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