Automated estimation of vector error correction models
Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where mult...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1872 https://ink.library.smu.edu.sg/context/soe_research/article/2872/viewcontent/AutomatedEstimationVECmodels_2013_pp.pdf |
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| Institution: | Singapore Management University |
| Language: | English |