IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Optimized Multivariate Lag Structure Selection

  • Peter Winker

Model selection – choosing the relevant variables and structures – is a central task in econometrics. Given a limited number of observations, estimation and inference depend on this choice. A frequently treated model-selection problem arises in multivariate autoregressive models, where the problem reduces to the choice of a dynamic structure. In most applications this choice is based either on some ad hoc procedure or on a search within a very small subset of all possible models. In this paper the selection is performed using an explicit optimization approach for a given information criterion. Since complete enumeration of all possible lag structures is infeasible even for moderate dimensions, the global optimization heuristic of threshold accepting is implemented. A simulation study compares this approach with the standard ’take all up to the kth lag‘ approach. It is found that, if the lag structure of the true model is sparse, the threshold accepting optimization approach gives far better approximations.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://journals.kluweronline.com/issn/0927-7099/contents
Download Restriction: no

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 16 (2000)
Issue (Month): 1/2 (October)
Pages: 87-103

as
in new window

Handle: RePEc:kap:compec:v:16:y:2000:i:1/2:p:87-103
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100248

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:16:y:2000:i:1/2:p:87-103. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)

or (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.