Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - Federal Reserve Bank of St. Louis - 2004
are not available at the daily frequency.
Thus, the information set considered includes the FF rate target, other US …)-(8) are
given in Table 2, where the
2
R
and conventional information criteria (namely, AIC, BIC and HQ) are
reported. The …
>. . Inspection of the
information criteria tells us that, although the MSIAH-VECM has the highest
2
R
recorded, this
model may be …