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  • Search: subject:"Statistical selection criteria"
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Year of publication
Subject
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Research Methods/ Statistical Methods 1 Statistical selection criteria 1 cointegration 1 impulse response functions 1 mixed unit roots 1 small sample properties 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Robledo, Carlos W. 1 Zapata, Hector O. 1
Institution
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Agricultural and Applied Economics Association - AAEA 1
Published in...
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1999 Annual meeting, August 8-11, Nashville, TN 1
Source
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RePEc 1
Showing 1 - 1 of 1
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DYNAMIC ANALYSIS WITH TIME SERIES MODELS: SIMULATION AND EMPIRICAL EVIDENCE
Robledo, Carlos W.; Zapata, Hector O. - Agricultural and Applied Economics Association - AAEA - 1999
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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