IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères

Listed author(s):
  • Claude Deniau
  • Georges Fiori
  • Alexandre Mathis

[fre] Sélection du nombre de retards dans un modèle VAR conséquences éventuelles du choix des critères, par Claude Deniau, Georges Fiori, Alexandre M athis. Ce travail s'intéresse à la détermination du nombre de retards à prendre en compte dans des représentations autorégressives vectorielles. La sensibilité des résultats obtenus est examinée sur un ensemble de trois variables comprenant la monnaie, le taux d'intérêt réel et la production. [spa] Selección del núméro de retrasos en un modelo VAR : consecuencias posibles de la opción de criterios, por Claude Deniau, Georges Fiori y Alexandre Mathis. Este trabajo está dedicado a la determinación del número de retrasos que cabe tener en cuenta en las representaciones autorregresivas vectoriales. Se examina la sensibilidad de los resultados obtenidos en consideración a un conjunto de très variables que corresponden a la moneda, al tipo de interés real y la producción. [eng] Selection of the Number of Lags in a VAR Model Possible Consequences on the Choice of Criteria, by Claude Deniau, Georges Fiori and Alexandre Mathis. This work deals with determining the number of lags to be taken into account in auto-regressive vectorial representations. The sensitivity of the results obtained is examined for a set of three variables covering currency, the real interest rate and production. [ger] Festlegung der Anzahl Verzögerungen in einem VAR-Modell. Die Wahl der Kriterien und ihre möglichen Auswirkungen, von Claude Deniau, Georges Fiori, Alexandre Mathis. Gegenstand dieses Artikels ist die Wahl der Anzahl der Verzögerungen, die in vektoriellen autoregressiven Darstellungen zu berücksichtigen sind. Anhand der drei Variablen Währung, realer Zinssatz und Produktion wird anschließend die Zuverlässigkeit der erhaltenen Ergebnisse untersucht.

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:
Download Restriction: no

File URL:
Download Restriction: no

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 106 (1992)
Issue (Month): 5 ()
Pages: 61-69

in new window

Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5315
Note: DOI:10.3406/ecop.1992.5315
Contact details of provider: Web page:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

in new window

  1. Caines, P. E. & Keng, C. W. & Sethi, S. P., 1981. "Causality analysis and multivariate Autoregressive modelling with an application to supermarket sales analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 3(1), pages 267-298, November.
  2. Sims, Christopher A, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," American Economic Review, American Economic Association, vol. 70(2), pages 250-257, May.
  3. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
  4. Thornton, Daniel L & Batten, Dallas S, 1985. "Lag-Length Selection and Tests of Granger Causality between Money and Income," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(2), pages 164-178, May.
  5. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  6. Claude Deniau & Georges Fiori & Alexandre Mathis, 1989. "Impact de la dette publique sur quelques variables macroéconomiques françaises," Économie et Prévision, Programme National Persée, vol. 90(4), pages 87-95.
  7. Kang, Heejoon, 1989. "The optimal lag selection and transfer function analysis in Granger causality tests," Journal of Economic Dynamics and Control, Elsevier, vol. 13(2), pages 151-169, April.
  8. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  10. Hafer, R W & Sheehan, Richard G, 1991. "Policy Inference Using VAR Models," Economic Inquiry, Western Economic Association International, vol. 29(1), pages 44-52, January.
Full references (including those not matched with items on IDEAS)

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:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5315. 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: (Equipe PERSEE)

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.