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
Permanent link to this Catalogue record:
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Department/Agency | Bank of Canada. |
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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. |
Series title | Bank of Canada working paper1701-939795-9 |
Publication type | Series - View Master Record |
Language | [English] |
Format | Electronic |
Electronic document | |
Other formats | Paper-[English] |
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. |
Publishing information | Ottawa - Ontario : Bank of Canada October 1995. |
Description | 49p.graphs, references, tables |
ISSN | 1701-9397 |
Catalogue number |
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Subject terms | Economy |
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