The importance of common cyclical features in VAR analysis: A Monte-Carlo study.

DOI10.1016/S0304-4076(02)00117-3zbMath1043.62111OpenAlexW2024925144MaRDI QIDQ1858956

João Victor Issler, Farshid Vahid

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00117-3

zbMATH Keywords

forecastingmodel selection criteriavariance decompositionreduced rank models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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