Selection of the truncation lag in structural VARS or (VECMs) with long-run restrictions / by Alain DeSerres and Alain Guay, International Department. : FB3-2/95-9E
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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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Selection of the truncation lag in structural VARS or (VECMs) with long-run restrictions / by Alain DeSerres and Alain Guay, International Department. |
| Series title | Working paper1192-543495-9 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[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. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 1995. |
| Binding | Softcover |
| Description | 39p. : graphs, references, tables ; 28 cm. |
| ISBN | 0-662-23793-5 |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Economy |
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