Specification via model selection in vector error correction models

DOI10.1016/S0165-1765(98)00129-3zbMath0910.90065OpenAlexW2072440899WikidataQ126339218 ScholiaQ126339218MaRDI QIDQ1274716

Jean-Yves Pitarakis, Jesús Gonzalo

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00129-3

zbMATH Keywords

model selectionVARmisspecification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (12)

A comparison of some common methods for detecting Granger noncausality ⋮ Forecasting cointegrated nonstationary time series with time-varying variance ⋮ Joint detection of unit roots and cointegration: data-based simulation ⋮ A power comparison between autocorrelation based tests ⋮ A MONTE CARLO STUDY ON THE SELECTION OF COINTEGRATING RANK USING INFORMATION CRITERIA ⋮ Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships ⋮ Comparison of procedures for fitting the autoregressive order of a vector error correction model ⋮ Averaging estimators for autoregressions with a near unit root ⋮ Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions ⋮ Lag length estimation in large dimensional systems ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ Estimation and model selection based inference in single and multiple threshold models.

Cites Work

• Estimating the dimension of a model
• Fitting autoregressive models for prediction
• On the Distributional Properties of Model Selection Criteria
• Comparisons of tests for multivariate cointegration
• Lag length estimation in large dimensional systems
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• A new look at the statistical model identification
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