Une période d'entretien est prévue le mardi 23 avril 2024, de 9 h à 12 h (HE). Pendant cette période, le site Web publications.gc.ca pourrait subir des interruptions.
Selection of the truncation lag in structural VARS or (VECMs) with long-run restrictions / by Alain DeSerres and Alain Guay. : FB3-2/95-9E-PDF
The authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory components to the selection of the lag length required in a VAR system to approximate this MA component.--Abstract
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.571640&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Selection of the truncation lag in structural VARS or (VECMs) with long-run restrictions / by Alain DeSerres and Alain Guay. |
| Titre de la série | Bank of Canada working paper1701-939795-9 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Autres formats offerts | Papier-[Anglais] |
| Note(s) | "The authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory components to the selection of the lag length required in a VAR system to approximate this MA component."--Abstract. The ISBN (0-662-23793-5) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. Résumés en français. |
| Information sur la publication | Ottawa - Ontario : Bank of Canada October 1995. |
| Description | 49p.graphs, references, tables |
| ISSN | 1701-9397 |
| Numéro de catalogue |
|
| Descripteurs | Economy |