Optimal Lag Structure Selection in VEC-Models
Year of publication: |
2004-08-11
|
---|---|
Authors: | Maringer, Dietmar ; Winker, Peter |
Institutions: | Society for Computational Economics - SCE |
Subject: | Model selection | cointegration rank | reduced rank regression |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Computing in Economics and Finance 2004 Number 155 |
Classification: | C32 - Time-Series Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
-
Maximum likelihood estimation of the I(2) model under linear restrictions
Doornik, Jurgen A., (2017)
-
Maximum likelihood estimation of the I(2) model under linear restrictions
Doornik, Jurgen A., (2017)
-
Heuristic model selection for leading indicators in Russia and Germany
Savin, Ivan, (2011)
- More ...
-
Smooth Transition Autoregressive (STAR) Models
Maringer, Dietmar, (2006)
-
APT At Work: Finding The Relevant Risk Factors For Asset Pricing
Maringer, Dietmar, (2002)
-
An Objective Function for Simulation Based Inference on Exchange Rate Data
Gilli, Manfred, (2006)
- More ...