Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence
The performance of the FPE, AIC, HQ and SC criteria in choosing lag-length, and the effect on the impulse-response functions, are studied in a Monte Carlo simulation. The experiments include stationary, cointegrated, and mixed unit root VAR and MA cases.
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Cowles Foundation Discussion Papers
1102, Cowles Foundation for Research in Economics, Yale University.
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- David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
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