Accounting for lag order uncertainty in autoregressions: The endogenous lag order bootstrap algorithm

Journal of Time Series Analysis

Volumn 19, Issue 5, 1998, Pages 531-548

  Kilian, Lutz ^a  

^a NONE

Author keywords

Bootstrap; Confidence intervals; Impulse responses; Lag order selection; Vector autoregression

Indexed keywords

EID: 0000321514     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00107     Document Type: Article

References (18)

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