00000nam##2200000za#4500 9.571640 CaOODSP 20211126112844 cr ||||||||||| 150406|1995||||xxc|||||o f|0| 0 eng|d 1701-9397 CaOODSP eng n-cn--- FB3-2/95-9E-PDF Bank of Canada. Selection of the truncation lag in structural VARS or (VECMs) with long-run restrictions / [electronic resource] by Alain DeSerres and Alain Guay. Ottawa - Ontario : Bank of Canada October 1995. 49p. graphs, references, tables Bank of Canada working paper 1701-9397 95-9 "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. 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 Résumés en français. 11-19-Supp 2011-09-23 Economy gcpds Guay, Alain DeSerres, Alain Selection of the truncation lag in structural VARS or (VECMs) with long-run restrictions / (CaOODSP)9.612563 Working paper (Bank of Canada) 1701-9397 95-9 (CaOODSP)9.504604 http://publications.gc.ca PDF 175 KB https://publications.gc.ca/collections/Collection/FB3-2-95-9E.pdf 95-9