Model selection for cointegrated relationships in small samples
- He, Wei
- Authors: He, Wei
- Date: 2008
- Subjects: Economics -- Statistical methods , Cointegration -- South Africa , Econometrics
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:10570 , http://hdl.handle.net/10948/971 , Economics -- Statistical methods , Cointegration -- South Africa , Econometrics
- Description: Vector autoregression models have become widely used research tools in the analysis of macroeconomic time series. Cointegrated techniques are an essential part of empirical macroeconomic research. They infer causal long-run relationships between nonstationary variables. In this study, six information criteria were reviewed and compared. The methods focused on determining the optimum information criteria for detecting the correct lag structure of a two-variable cointegrated process.
- Full Text:
- Date Issued: 2008
- Authors: He, Wei
- Date: 2008
- Subjects: Economics -- Statistical methods , Cointegration -- South Africa , Econometrics
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:10570 , http://hdl.handle.net/10948/971 , Economics -- Statistical methods , Cointegration -- South Africa , Econometrics
- Description: Vector autoregression models have become widely used research tools in the analysis of macroeconomic time series. Cointegrated techniques are an essential part of empirical macroeconomic research. They infer causal long-run relationships between nonstationary variables. In this study, six information criteria were reviewed and compared. The methods focused on determining the optimum information criteria for detecting the correct lag structure of a two-variable cointegrated process.
- Full Text:
- Date Issued: 2008
Consistent testing for lag length in cointegrated relationships
- Authors: Liu, Limin
- Date: 2007
- Subjects: Cointegration -- South Africa , Econometrics
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:10575 , http://hdl.handle.net/10948/547 , http://hdl.handle.net/10948/d1011715 , Cointegration -- South Africa , Econometrics
- Description: In the past few decades the theory of cointegration has been widely used in the empirical analysis of economic data. The reason is that, it captures the economic notion of a long-run economic relation. One of the problems experienced when applying cointegrated techniques to econometric modelling is the determination of lag lengths for the modelled variables. Applied studies have resulted in contradictory choices for lag length selection. This study reviews and compares some of the well-known information criteria using simulation techniques for bivariate models.
- Full Text:
- Date Issued: 2007
- Authors: Liu, Limin
- Date: 2007
- Subjects: Cointegration -- South Africa , Econometrics
- Language: English
- Type: Thesis , Masters , MSc
- Identifier: vital:10575 , http://hdl.handle.net/10948/547 , http://hdl.handle.net/10948/d1011715 , Cointegration -- South Africa , Econometrics
- Description: In the past few decades the theory of cointegration has been widely used in the empirical analysis of economic data. The reason is that, it captures the economic notion of a long-run economic relation. One of the problems experienced when applying cointegrated techniques to econometric modelling is the determination of lag lengths for the modelled variables. Applied studies have resulted in contradictory choices for lag length selection. This study reviews and compares some of the well-known information criteria using simulation techniques for bivariate models.
- Full Text:
- Date Issued: 2007
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