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ON THE DETERMINATION OF LAG ORDER IN VECTOR AUTOREGRESSIONS OF COINTEGRATED SYSTEMS
Uppsala University.
1995 (English)In: COMPUTATIONAL STATISTICS, ISSN 0943-4062, Vol. 10, no 2, 177-192 p.Article in journal (Other scientific) Published
Abstract [en]

Dynamic modelling using maximum likelihood cointegration methods requires the specification of a lag order for the model. In the literature, this is carried out using univariate Box-Pierce statistics. Recognizing the multivariate nature of the problem, th

Place, publisher, year, edition, pages
PHYSICA VERLAG GMBH , 1995. Vol. 10, no 2, 177-192 p.
Keyword [en]
VECTOR AUTOREGRESSION; COINTEGRATION; LAG ORDER DETERMINATION; MONTE CARLO SIMULATION; RESIDUAL AUTOCORRELATIONS; MODELS
Identifiers
URN: urn:nbn:se:uu:diva-56598OAI: oai:DiVA.org:uu-56598DiVA: diva2:84507
Note
Addresses: JACOBSON T, UNIV UPPSALA, DEPT STAT, POB 513, S-75120 UPPSALA, SWEDEN.Available from: 2008-10-17 Created: 2008-10-17 Last updated: 2011-01-16

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