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
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| Title | Selection of the truncation lag in structural VARS or (VECMs) with long-run restrictions / by Alain DeSerres and Alain Guay. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Other formats | Physical text-[English] |
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| Description | 49p.graphs, references, tables |
| ISSN | 1701-9397 |
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