DYNAMIC ANALYSIS WITH TIME SERIES MODELS: SIMULATION AND EMPIRICAL EVIDENCE

The performance of the FPE, AIC, HQ and SC criteria in choosing lag-length, and the effect on the impulse-response functions, are studied in a Monte Carlo simulation. The experiments include stationary, cointegrated, and mixed unit root VAR and MA cases.

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Year of publication:	1999
Authors:	Robledo, Carlos W. ; Zapata, Hector O.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Statistical selection criteria \| cointegration \| mixed unit roots \| impulse response functions \| small sample properties \| Research Methods/ Statistical Methods

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Extent:	application/pdf
Series:	1999 Annual meeting, August 8-11, Nashville, TN.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 1999 Annual meeting, August 8-11, Nashville, TN Number 21526
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005494076