Sökning: AMNE:(SOCIAL SCIENCES Business and economics)
> Högskolan i Skövde
> (2008) >
Forecasting propert...
Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models
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- Hatemi-J, Abdulnasser (författare)
- Högskolan i Skövde,Institutionen för teknik och samhälle,Department of Business and Management, University of Kurdistan-Hawler
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(creator_code:org_t)
- Routledge, 2008
- 2008
- Engelska.
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Ingår i: Applied Economics Letters. - : Routledge. - 1350-4851 .- 1466-4291. ; 15:4, s. 239-243
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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visa färre...
Abstract
Ämnesord
Stäng
- This simulation study investigates the forecasting performance of a new information criterion suggested by Hatemi-J (2003) to pick the optimal lag length in the stable and unstable vector autregression (VAR) models. The conducted Monte Carlo experiments reveal that this information criterion is successful in selecting the optimal lag order in the VAR model when the main aim is to draw ex-ante (forecasting) inference regardless if the VAR model is stable or not. In addition, the simulations indicate that this information criterion is robust to autoregressive conditional heteroskedasticity effects.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Economics
- Nationalekonomi
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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