Mantalos, Panagiotis; Mattheou, Kyriacos; … - In: International Journal of Computational Economics and … 1 (2010) 3/4, pp. 254-277
This paper examines the problem of order selection in connection to the forecasting performance for vector autoregressive (VAR) processes. For this purpose we present a generalisation of the modified divergence information criterion (MDIC) for VAR models and compare it with traditional...