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Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence

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  • Robledo, Carlos W.
  • Zapata, Hector O.

Abstract

The performance of the FPE, AIC, HQ and SC criteria in choosing lag-length, and the effect on the impulse-response functions, are studied in a Monte Carlo simulation. The experiments include stationary, cointegrated, and mixed unit root VAR and MA cases.

Suggested Citation

  • Robledo, Carlos W. & Zapata, Hector O., 1999. "Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence," 1999 Annual meeting, August 8-11, Nashville, TN 21526, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea99:21526
    DOI: 10.22004/ag.econ.21526
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    References listed on IDEAS

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