- Title
- Model selection for cointegrated relationships in small samples
- Creator
- He, Wei
- Subject
- Economics -- Statistical methods
- Subject
- Cointegration -- South Africa
- Subject
- Econometrics
- Date Issued
- 2008
- Date
- 2008
- Type
- Thesis
- Type
- Masters
- Type
- MSc
- Identifier
- vital:10570
- Identifier
- http://hdl.handle.net/10948/971
- Identifier
- Economics -- Statistical methods
- Identifier
- Cointegration -- South Africa
- Identifier
- Econometrics
- Description
- Vector autoregression models have become widely used research tools in the analysis of macroeconomic time series. Cointegrated techniques are an essential part of empirical macroeconomic research. They infer causal long-run relationships between nonstationary variables. In this study, six information criteria were reviewed and compared. The methods focused on determining the optimum information criteria for detecting the correct lag structure of a two-variable cointegrated process.
- Format
- vii, 97 leaves
- Format
- Publisher
- Nelson Mandela Metropolitan University
- Publisher
- Faculty of Science
- Language
- English
- Rights
- Nelson Mandela Metropolitan University
- Hits: 1236
- Visitors: 1334
- Downloads: 118
Thumbnail | File | Description | Size | Format | |||
---|---|---|---|---|---|---|---|
View Details Download | SOURCEPDF | 539 KB | Adobe Acrobat PDF | View Details Download |