Lag-length Selection in VAR-models Using Equal and Unequal Lag-Length Procedures
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Cited by:
- Peter Winker & Dietmar Maringer, 2004.
"Optimal Lag Structure Selection in VEC-Models,"
Contributions to Economic Analysis, in: New Directions in Macromodelling, pages 213-234,
Emerald Group Publishing Limited.
- Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics.
- Janakiramanan, Sundaram & Lamba, Asjeet S., 1998. "An empirical examination of linkages between Pacific-Basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 155-173, June.
- Yang, Jack J. W., 2002. "The information spillover between stock returns and institutional investors' trading behavior in Taiwan," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 533-547.
More about this item
Keywords
Vector autoregression; Order selection; Information Criteria; Monte Carlo simulation.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-1998-09-07 (Econometric Time Series)
- NEP-IFN-1998-09-07 (International Finance)
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