DYNAMIC ANALYSIS WITH TIME SERIES MODELS: SIMULATION AND EMPIRICAL EVIDENCE
Robledo, Carlos W.; Zapata, Hector O.
1999

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Abstract

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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Title DYNAMIC ANALYSIS WITH TIME SERIES MODELS: SIMULATION AND EMPIRICAL EVIDENCE
Keywords
Author(s) Robledo, Carlos W.
Zapata, Hector O.
Subject(s)
Issue Date 1999
Publication Type Conference Paper/ Presentation
DOI and Other Identifiers 10.22004/ag.econ.21526
Record Identifier https://ageconsearch.umn.edu/record/21526
PURL Identifier http://purl.umn.edu/21526
Language English
Total Pages 13
Series Statement Selected Paper
Record Appears in Agricultural and Applied Economics Association (AAEA) > Agricultural and Applied Economics Association (AAEA) Conferences > 1999 Annual meeting, August 8-11, Nashville, TN

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