The importance of common cyclical features in VAR analysis: A Monte-Carlo study

Journal of Econometrics

Volumn 109, Issue 2, 2002, Pages 341-363

  Vahid, Farshid ^a   Issler, João Victor ^b  

^a MONASH UNIVERSITY   (Australia)

^b FUNDAÇÃO GETÚLIO VARGAS   (Brazil)

Author keywords

Forecasting; Model selection criteria; Reduced rank models; Variance decomposition

Indexed keywords

ALGEBRA; DATA REDUCTION; ESTIMATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; VECTORS;

CYCLICAL FEATURES; VARIANCE DECOMPOSITION;

ECONOMICS;

EID: 0346093814     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00117-3     Document Type: Article

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