Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

DOI10.1016/j.jeconom.2011.02.009zbMath1441.62594OpenAlexW3125956986MaRDI QIDQ737999

João Victor Issler, Osmani Teixeira de Carvalho Guillén, George Athanasopoulos, Farshid Vahid

Publication date: 12 August 2016

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

Full work available at URL: http://hdl.handle.net/10438/2192

zbMATH Keywords

model selection criteriaforecasting accuracyreduced rank models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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