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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- David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
- Peter C.B. Phillips, 1995.
"Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's,"
Cowles Foundation Discussion Papers
1102, Cowles Foundation for Research in Economics, Yale University.
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- Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
- Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Impulse response analysis of cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 53-78, January.
- Spencer, David E, 1989. "Does Money Matter? The Robustness of Evidence from Vector Autoregressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 442-54, November.
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