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Automatic Inference for Infinite Order Vector Autoregressions
Vector Autoregressions instrument
2015/9/22
Infinite order vector autoregressive (VAR) models have been used in a number of applications
ranging from spectral density estimation, impulse response analysis, tests for cointegration and uni...
Order determination in general vector autoregressions
autoregression lag length information criteria
2010/4/27
In the application of autoregressive models the order of the model
is often estimated using either a sequence of likelihood ratio tests, a likelihood
based information criterion, or a residual based...