Lag Length Estimation in Large Dimensional Systems
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- Jesús Gonzalo & Jean‐Yves Pitarakis, 2002. "Lag length estimation in large dimensional systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 401-423, July.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, University Library of Munich, Germany.
References listed on IDEAS
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Keywords
subliminal extant Smith economagic gmm;JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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