Order determination in general vector autoregressions.
In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of...
| Main Author: | |
|---|---|
| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2001
|
Search Result 1
