Model selection for cointegrated relationships in small samples

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: pdf
Publisher: Nelson Mandela Metropolitan University
Publisher: Faculty of Science
Language: English
Rights: Nelson Mandela Metropolitan University

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