General--to--Specific Reductions of Vector Autoregressive Processes
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More about this item
Keywords
Econometric methodology; Model selection; Vector autoregression; Data mining.;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2001-05-02 (Econometrics)
- NEP-ETS-2001-05-02 (Econometric Time Series)
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