Two-step adaptive model selection for vector autoregressive processes

Journal of Multivariate Analysis

Volumn 116, Issue , 2013, Pages 349-364

  Ren, Yunwen ^a   Xiao, Zhiguo ^b   Zhang, Xinsheng ^b  

^a Guangzhou Securities Co Ltd   (China)

^b FUDAN UNIVERSITY   (China)

Author keywords

Adaptive jump selection; Impulse response analysis; Lag order selection; VAR models

Indexed keywords

EID: 84873599720     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2013.01.004     Document Type: Article

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