Selection in VAR-models using equal and unequal lag-length procedures

zbMath0933.62090MaRDI QIDQ1966361

Sune Karlsson, Mikael P. Gredenhoff

Publication date: 1 March 2000

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationtime series analysisinformation criteriavector autoregressionorder selection

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Bayesian learning of graphical vector autoregressions with unequal lag-lengths ⋮ Unnamed Item

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