An efficient branch-and-bound strategy for subset vector autoregressive model selection

Journal of Economic Dynamics and Control

Volumn 32, Issue 6, 2008, Pages 1949-1963

  Gatu, Cristian ^a,e   Kontoghiorghes, Erricos J ^b,f   Gilli, Manfred ^c,g   Winker, Peter ^d  

^a VTT TECHNICAL RESEARCH CENTRE OF FINLAND   (Finland)

^b UNIVERSITY OF CYPRUS   (Cyprus)

^c UNIVERSITY OF GENEVA   (Switzerland)

^d Justus Liebig Universität Giessen Fachbereich Wirtschaftswissenschaften   (Germany)

^e ALEXANDRU IOAN CUZA UNIVERSITY OF IASI   (Romania)

^f UNIVERSITY OF LONDON   (United Kingdom)

^g SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

Branch and bound algorithms; Model selection; Vector autoregressive model

Indexed keywords

EID: 43849099661     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2007.08.001     Document Type: Article

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