Comparison of model reduction methods for VAR processes
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- Ralf Brüggemann & Hans-Martin Krolzig & Helmut Lütkepohl, 2003. "Comparison of Model Reduction Methods for VAR Processes," Economics Papers 2003-W13, Economics Group, Nuffield College, University of Oxford.
- Ralf BRUEGGEMANN & Hans-Martin KROLZIG & Helmut LUETKEPOHL, 2002. "Comparison of Model Reduction Methods for VAR Processes," Economics Working Papers ECO2002/19, European University Institute.
References listed on IDEAS
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- Hans‐Martin Krolzig, 2003.
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- Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford.
- Fengler, Matthias R. & Gisler, Katja I.M., 2015.
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- Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
- Alejandro Gaytán & Jesús González-García, 2007. "Cambios estructurales en el mecanismo de transmisión de la política monetaria en México: un enfoque VAR no lineal," Monetaria, CEMLA, vol. 0(4), pages 367-404, octubre-d.
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- Sylvia Beatriz Guillermo Peón & Martín Alberto Rodríguez Brindis, 2014. "Analyzing the Exchange Rate Pass-through in Mexico: Evidence Post Inflation Targeting Implementation," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(74), pages 18-35, June.
- Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
- Kapetanios, George & Marcellino, Massimiliano & Papailias, Fotis, 2016. "Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 369-382.
- Peter Winker & Dietmar Maringer, 2004.
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- Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004 155, Society for Computational Economics.
- Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009.
"Studying co-movements in large multivariate data prior to multivariate modelling,"
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- Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008.
- David F. Hendry & Hans-Martin Krolzig, 2003. "Sub-sample Model Selection Procedures in Gets Modelling," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.
- Gaytán González Alejandro & González García Jesús R., 2006. "Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach," Working Papers 2006-06, Banco de México.
- Cheong, Chongcheul & Lee, Hyunchul, 2014. "Forecasting with a parsimonious subset VAR model," Economics Letters, Elsevier, vol. 125(2), pages 167-170.
- Oscar Díaz Q. & Marco Laguna V., 2007. "Factores que explican la reducción de las tasas pasivas de interés en el sistema bancario boliviano," Monetaria, CEMLA, vol. 0(4), pages 331-366, octubre-d.
- Eklund, Jana & Kapetanios, George, 2008.
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National Institute Economic Review, National Institute of Economic and Social Research, vol. 203, pages 109-115, January.
- Jana Eklund & George Kapetanios, 2008. "A review of forecasting techniques for large datasets," National Institute Economic Review, National Institute of Economic and Social Research, vol. 203(1), pages 109-115, January.
- Jana Eklund & George Kapetanios, 2008. "A Review of Forecasting Techniques for Large Data Sets," Working Papers 625, Queen Mary University of London, School of Economics and Finance.
- Adugna Olani, 2016.
"Dynamic Capital Inflow Transmission Of Monetary Policy To Emerging Markets,"
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- Eklund, Jana & Kapetanios, George, 2008. "A review of forecasting techniques for large datasets," National Institute Economic Review, Cambridge University Press, vol. 203, pages 109-115, January.
- Jana Eklund & George Kapetanios, 2008. "A Review of Forecasting Techniques for Large Data Sets," Working Papers 625, Queen Mary University of London, School of Economics and Finance.
- Jana Eklund & George Kapetanios, 2008. "A Review of Forecasting Techniques for Large Data Sets," Working Papers 625, Queen Mary University of London, School of Economics and Finance.
- Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, March.
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More about this item
Keywords
vector autoregression; model selection; subset model; lag order determination;
All these keywords.JEL classification:
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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- Eklund, Jana & Kapetanios, George, 2008. "A review of forecasting techniques for large datasets," National Institute Economic Review, Cambridge University Press, vol. 203, pages 109-115, January.