IDEAS home Printed from https://ideas.repec.org/r/bla/jtsera/v14y1993i3p271-279.html
   My bibliography  Save this item

A Corrected Akaike Information Criterion For Vector Autoregressive Model Selection

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Francesco BARTOLUCCI & Silvia BACCI & Claudia PIGINI, 2015. "A Misspecification Test for Finite-Mixture Logistic Models for Clustered Binary and Ordered Responses," Working Papers 410, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  2. Carlos Medel, 2012. "¿Akaike o Schwarz? ¿Cuál elegir para Predecir el PIB Chileno?," Working Papers Central Bank of Chile 658, Central Bank of Chile.
  3. Lee, Shyan-Yuan & Tsai, Chih-Ling, 1998. "Model selection for causal models: The global procedure with AICC and AICU," Global Finance Journal, Elsevier, vol. 9(2), pages 205-223.
  4. Hafidi, Bezza, 2006. "A small-sample criterion based on Kullback's symmetric divergence for vector autoregressive modeling," Statistics & Probability Letters, Elsevier, vol. 76(15), pages 1647-1654, September.
  5. Oscar Jorda, 2003. "Model-Free Impulse Responses," Working Papers 38, University of California, Davis, Department of Economics.
  6. Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022. "Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
  7. Òscar Jordà & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  8. Yifei Cai & Jamel Saadaoui & Yanrui Wu, 2024. "Political relations and trade: New evidence from Australia, China, and the United States," Scottish Journal of Political Economy, Scottish Economic Society, vol. 71(3), pages 253-275, July.
  9. Cavanaugh, Joseph E., 1999. "A large-sample model selection criterion based on Kullback's symmetric divergence," Statistics & Probability Letters, Elsevier, vol. 42(4), pages 333-343, May.
  10. Kirsten Lommatzsch & Silke Tober, 2004. "The Inflation Target of the ECB: Does the Balassa-Samuelson Effect Matter?," EUI-RSCAS Working Papers 19, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS).
  11. Jonathan E Bone & Brian Wallace & Redouan Bshary & Nichola J Raihani, 2016. "Power Asymmetries and Punishment in a Prisoner’s Dilemma with Variable Cooperative Investment," PLOS ONE, Public Library of Science, vol. 11(5), pages 1-16, May.
  12. Carlos A. Medel, 2015. "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 30(1), pages 57-72, Abril.
  13. Javier Pereda, 2011. "Estimación de la tasa natural de interés para Perú: un enfoque financiero," Monetaria, CEMLA, vol. 0(4), pages 429-459, octubre-d.
  14. Daniel Fernández, 2011. "Suficiencia del capital y previsiones de la banca uruguaya por su exposición al sector industrial," Monetaria, CEMLA, vol. 0(4), pages 517-589, octubre-d.
  15. Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020. "Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
  16. Luca Brugnolini, 2018. "About Local Projection Impulse Response Function Reliability," CEIS Research Paper 440, Tor Vergata University, CEIS, revised 09 Jun 2018.
  17. de Pinho, Frank M. & Franco, Glaura C. & Silva, Ralph S., 2016. "Modeling volatility using state space models with heavy tailed distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 119(C), pages 108-127.
  18. S. Bacci & S. Pandolfi & F. Pennoni, 2014. "A comparison of some criteria for states selection in the latent Markov model for longitudinal data," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(2), pages 125-145, June.
  19. Albis, Manuel Leonard F. & Mapa, Dennis S., 2014. "Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models," MPRA Paper 55902, University Library of Munich, Germany.
  20. Lee, Seohyun, 2017. "Three essays on uncertainty: real and financial effects of uncertainty shocks," MPRA Paper 83617, University Library of Munich, Germany.
  21. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
  22. Hafidi, B. & Mkhadri, A., 2006. "A corrected Akaike criterion based on Kullback's symmetric divergence: applications in time series, multiple and multivariate regression," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1524-1550, March.
  23. Jonathan E Bone & Katherine McAuliffe & Nichola J Raihani, 2016. "Exploring the Motivations for Punishment: Framing and Country-Level Effects," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-14, August.
  24. Alok Tiwari & Mohammed Aljoufie, 2021. "Modeling Spatial Distribution and Determinant of PM 2.5 at Micro-Level Using Geographically Weighted Regression (GWR) to Inform Sustainable Mobility Policies in Campus Based on Evidence from King Abdu," Sustainability, MDPI, vol. 13(21), pages 1-14, October.
  25. Yifei Cai & Jamel Saadaoui & Yanrui Wu, 2022. "The Political Relation and Trade - The Case of US, China and Australia," Economics Discussion / Working Papers 22-06, The University of Western Australia, Department of Economics.
  26. Godahewa, Rakshitha & Bergmeir, Christoph & Webb, Geoffrey I. & Montero-Manso, Pablo, 2023. "An accurate and fully-automated ensemble model for weekly time series forecasting," International Journal of Forecasting, Elsevier, vol. 39(2), pages 641-658.
  27. Carlos A. Medel & Sergio C. Salgado, 2013. "Does the Bic Estimate and Forecast Better than the Aic?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 28(1), pages 47-64, April.
  28. Anna Staszewska‐Bystrova, 2011. "Bootstrap prediction bands for forecast paths from vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 721-735, December.
  29. Anna Staszewska-Bystrova, 2009. "Bootstrap Confidence Bands for Forecast Paths," Working Papers 024, COMISEF.
  30. Chang Liu & Emily S. Minor & Megan B. Garfinkel & Bo Mu & Guohang Tian, 2021. "Anthropogenic and Climatic Factors Differentially Affect Waterbody Area and Connectivity in an Urbanizing Landscape: A Case Study in Zhengzhou, China," Land, MDPI, vol. 10(10), pages 1-23, October.
  31. Shang, Junfeng & Cavanaugh, Joseph E., 2008. "Bootstrap variants of the Akaike information criterion for mixed model selection," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2004-2021, January.
  32. Xiaowen Jin & Liang Wang & Zhengzheng Zhang & Jingzhuang Yan, 2022. "Factors Affecting the Income of Agritourism Operations: Evidence from an Eastern Chinese County," Sustainability, MDPI, vol. 14(14), pages 1-18, July.
  33. Tamara Burdisso & Eduardo Ariel Corso, 2011. "Incertidumbre y dolarización de cartera: el caso argentino en el último medio siglo," Monetaria, CEMLA, vol. 0(4), pages 461-515, octubre-d.
  34. Cavanaugh, Joseph E., 1997. "Unifying the derivations for the Akaike and corrected Akaike information criteria," Statistics & Probability Letters, Elsevier, vol. 33(2), pages 201-208, April.
  35. Han Lin Shang & Kaiying Ji, 2023. "Forecasting intraday financial time series with sieve bootstrapping and dynamic updating," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1973-1988, December.
  36. Kokoszka, Piotr & Miao, Hong & Petersen, Alexander & Shang, Han Lin, 2019. "Forecasting of density functions with an application to cross-sectional and intraday returns," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1304-1317.
  37. Stefan Bruder, 2014. "Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions," ECON - Working Papers 181, Department of Economics - University of Zurich, revised Dec 2015.
  38. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
  39. Calmès, Christian & Théoret, Raymond, 2020. "Bank fee-based shocks and the U.S. business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  40. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
  41. Boubacar Mainassara, Yacouba, 2010. "Selection of weak VARMA models by modified Akaike's information criteria," MPRA Paper 24981, University Library of Munich, Germany.
  42. Paul Gaggl, 2009. "The Role of Exchange Rate Movements for Prices in the Euro Area," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 83-103.
  43. M. El-Morshedy & Ziyad Ali Alhussain & Doaa Atta & Ehab M. Almetwally & M. S. Eliwa, 2020. "Bivariate Burr X Generator of Distributions: Properties and Estimation Methods with Applications to Complete and Type-II Censored Samples," Mathematics, MDPI, vol. 8(2), pages 1-31, February.
  44. Òscar Jordà & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  45. Klemens Hauzenberger & Robert Stehrer, 2010. "An Empirical Characterization of Redistribution Shocks and Output Dynamics," wiiw Working Papers 68, The Vienna Institute for International Economic Studies, wiiw.
  46. M S Eliwa & Emrah Altun & Ziyad Ali Alhussain & Essam A Ahmed & Mukhtar M Salah & Hanan Haj Ahmed & M El-Morshedy, 2021. "A new one-parameter lifetime distribution and its regression model with applications," PLOS ONE, Public Library of Science, vol. 16(2), pages 1-19, February.
  47. Oscar Jorda, 2003. "Model-Free Impulse Responses," Working Papers 305, University of California, Davis, Department of Economics.
  48. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
  49. Carlos A. Medel Vera, 2011. "¿Akaike o Schwarz? ¿Cuál utilizar para predecir el PIB chileno?," Monetaria, CEMLA, vol. 0(4), pages 591-615, octubre-d.
  50. Han Lin Shang, 2024. "Bootstrapping Long-Run Covariance of Stationary Functional Time Series," Forecasting, MDPI, vol. 6(1), pages 1-14, February.
  51. An Hoai Duong & Ernoiz Antriyandarti, 2023. "The Willingness to get Vaccinated Against SARS-CoV-2 Virus among Southeast Asian Countries: Does the Vaccine Brand Matter?," Applied Research in Quality of Life, Springer;International Society for Quality-of-Life Studies, vol. 18(2), pages 765-793, April.
  52. Nan Li & Simon S. Kwok, 2021. "Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 471-491, July.
  53. Bengtsson, Thomas & Cavanaugh, Joseph E., 2006. "An improved Akaike information criterion for state-space model selection," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2635-2654, June.
  54. Han Lin Shang, 2023. "Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(3), pages 421-441, September.
  55. Marhuenda, Yolanda & Morales, Domingo & del Carmen Pardo, María, 2014. "Information criteria for Fay–Herriot model selection," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 268-280.
  56. M. S. Eliwa & M. El-Morshedy & Mohamed Ibrahim, 2019. "Inverse Gompertz Distribution: Properties and Different Estimation Methods with Application to Complete and Censored Data," Annals of Data Science, Springer, vol. 6(2), pages 321-339, June.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.