Impulse response analysis in vector autoregressions with unknown lag order

Journal of Forecasting

Volumn 20, Issue 3, 2001, Pages 161-179

  Kilian, Lutz ^a,b,c  

^a UNIVERSITY OF MICHIGAN   (United States)

^b CEPR   (United Kingdom)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Bootstrap; Lag order selection; Model uncertainty; VAR

Indexed keywords

EID: 0035309225     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131X(200104)20:3<161::AID-FOR770>3.0.CO;2-X     Document Type: Article

References (24)

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