Search Results - subject:"Lag Selection"

Determination of vector error correction models in high dimensions

Liang, Chong; Schienle, Melanie - 2019

We provide a shrinkage type methodology which allows for simultaneous model selection and estimation of vector error correction models (VECM) when the dimension is large and can increase with sample size. Model determination is treated as a joint selection problem of cointegrating rank and...

Persistent link: https://www.econbiz.de/10011959467

Determination of vector error correction models in high dimensions

Liang, Chong; Schienle, Melanie - 2019

Persistent link: https://www.econbiz.de/10011958233

On the identification of fractionally cointegrated VAR models with the F(d) condition

Magistris, Paolo Santucci de; Carlini, Federico - School of Economics and Management, University of Aarhus - 2014

This paper discusses identification problems in the fractionally cointegrated system of Johansen (2008) and Johansen and Nielsen (2012). It is shown that several equivalent re-parameterizations of the model associated with different fractional integration and cointegration parameters may exist...

Persistent link: https://www.econbiz.de/10011019688

What results can we expect from rolling trace tests? A discussion based on the issue of stock market integration

Ludwig, Alexander - In: Economics Bulletin 34 (2014) 1, pp. 16-24

This paper discusses pitfalls in the application of the rolling trace test. This procedure is based on the iterative calculation of Johansen's (1988) trace test for the rank of a cointegration system in windows of equal length that roll over the sample. Pitfalls lie in the selection of the...

Persistent link: https://www.econbiz.de/10010835869

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Cavaliere, Giuseppe; Phillips, Peter C.B.; Smeekes, Stephan - Cowles Foundation for Research in Economics, Yale University - 2012

data-dependent methods of lag selection in augmented Dickey-Fuller type unit root test regressions and propose new lag … selection criteria which allow for the presence of heteroskedasticity in the shocks. We show that standard lag selection methods … bootstrap implementation of the) augmented Dickey-Fuller tests under the alternative. The new lag selection criteria we propose …

Persistent link: https://www.econbiz.de/10009391712

Bootstrapping the HEGY Seasonal Unit Root Tests

Taylor, Robert; Burridge, Peter - Econometric Society - 2004

bootstrap corrects the adverse effects of data-dependent lag selection seen in the conventional augmented HEGY tests. The …

Persistent link: https://www.econbiz.de/10005130173

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10010310204

Web quantlets for time series analysis

Härdle, Wolfgang; Kleinow, Torsten; Tschernig, Rolf - 2000

is illustrated with a recently suggested nonparametric lag selection procedure based on CAFPE (Corrected Asymptotic Final …

Persistent link: https://www.econbiz.de/10010310247

Web quantlets for time series analysis

Härdle, Wolfgang; Kleinow, Torsten; Tschernig, Rolf - Sonderforschungsbereich 373, Quantifikation und … - 2000

is illustrated with a recently suggested nonparametric lag selection procedure based on CAFPE (Corrected Asymptotic Final …

Persistent link: https://www.econbiz.de/10010983749

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2000

Persistent link: https://www.econbiz.de/10010983813