Focused information criterion for locally misspecified vector autoregressive models
Jan Lohmeyer, Franz Palm, Hanno Reuvers, and Jean-Pierre Urbain
| Year of publication: |
2019
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|---|---|
| Authors: | Lohmeyer, Jan ; Palm, Franz C. ; Reuvers, Hanno ; Urbain, Jean-Pierre |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 38.2019, 7, p. 763-792
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| Subject: | Focused information criteria | frequentist model averaging | impulse responses | local misspecification | model selection | model uncertainty | vector autoregressive models | VAR-Modell | VAR model | Modellierung | Scientific modelling | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2017.1409410 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181357