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Applied Economics Letters Volume 13, 2006 - Issue 4
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Original Articles

Effect of cross correlations in error terms on the model selection criteria for the stationary VAR process

Nezir Kose Faculty of Economics and Administrative Sciences, Department of Econometrics, Gazi University, 06500 Besevler, Ankara, TurkeyCorrespondence[email protected]
&
Nuri Ucar Faculty of Economics and Administrative Sciences, Department of Econometrics, Gazi University, 06500 Besevler, Ankara, Turkey
Pages 223-228 | Published online: 23 Aug 2006

References

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  • Granger , C. W. J. and Jeon , Y. 2004 . Forecasting performance of information criteria with many macro series . Journal of Applied Statistics , 31 : 1227 – 40 .
  • Hafer , R. W. and Sheehan , R. G. 1989 . The sensitivity of VAR forecasts to alternative lag structures . International Journal of Forecasting , 5 : 399 – 408 .
  • Hamilton , J. 1994 . Time Series Analysis , Princeton, NJ : Princeton University Press .
  • Hurvich , M. and Tsai , L. 1989 . Regression and time series model selection in small samples . Biometrica , 76 : 297 – 307 .
  • Lutkepohl , H. 1985 . Comparison of criteria for estimating the order of a vector autoregressive process . Journal of Time Series Analysis , 14 : 47 – 69 .
  • Lutkepohl , H. 1993 . Introduction to Multiple Time Series, , 2nd , Berlin : Springer-Verlag .
  • Luintel , K. B. 1999 . Non-causality due to irrelevant lag polynomials . Applied Economics Letters , 6 : 17 – 20 .

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