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A Note On Aic Order Determination For Multivariate Autoregressions

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  • B. G. Quinn

Abstract

. Formulae are obtained for the limiting probability of overestimating the order of a multivariate autoregression when using AIC‐type procedures.

Suggested Citation

  • B. G. Quinn, 1988. "A Note On Aic Order Determination For Multivariate Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(3), pages 241-245, May.
    • Handle: RePEc:bla:jtsera:v:9:y:1988:i:3:p:241-245
    DOI: 10.1111/j.1467-9892.1988.tb00468.x
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    Cited by:

    1. Ashis Kumar Pradhan & Gourishankar S Hiremath, 2020. "Do external commercial borrowings and financial development affect exports?," Cogent Business & Management, Taylor & Francis Journals, vol. 7(1), pages 1796269-179, January.
    2. Gerard Tchouassi & Ngwen Ngangue, 2017. "Macroeconomic and Financial Shocks in African Franc Zone: Exploring the Nexus with Vector Autoregression," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(1), pages 145-161, January.
    3. Kilian, Lutz & Ivanov, Ventzislav, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers 2685, C.E.P.R. Discussion Papers.
    4. Andrew J. Grant & Barry G. Quinn, 2017. "Parametric Spectral Discrimination," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 838-864, November.
    5. Ahsan Abbas & Eatzaz Ahmed & Fazal Husain, 2019. "Political and Economic Uncertainty and Investment Behaviour in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(3), pages 307-331.

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