DYNAMIC ANALYSIS WITH TIME SERIES MODELS: SIMULATION AND EMPIRICAL EVIDENCE

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.


Issue Date:
1999
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21526
Total Pages:
13
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-24

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)