Consistent testing for lag length in cointegrated relationships

Title: Consistent testing for lag length in cointegrated relationships
Creator: Liu, Limin
Subject: Cointegration -- South Africa
Subject: Econometrics
Date Issued: 2007
Date: 2007
Type: Thesis
Type: Masters
Type: MSc
Identifier: vital:10575
Identifier: http://hdl.handle.net/10948/547
Identifier: http://hdl.handle.net/10948/d1011715
Identifier: Cointegration -- South Africa
Identifier: Econometrics
Description: In the past few decades the theory of cointegration has been widely used in the empirical analysis of economic data. The reason is that, it captures the economic notion of a long-run economic relation. One of the problems experienced when applying cointegrated techniques to econometric modelling is the determination of lag lengths for the modelled variables. Applied studies have resulted in contradictory choices for lag length selection. This study reviews and compares some of the well-known information criteria using simulation techniques for bivariate models.
Format: v, 103 leaves ; 30 cm
Format: pdf
Publisher: Nelson Mandela Metropolitan University
Publisher: Faculty of Science
Language: English
Rights: Nelson Mandela Metropolitan University

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