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2002-10-22Buch DOI: 10.18452/3536
Comparison of Model Reduction Methods for VAR Processes
dc.contributor.authorBrüggemann, Ralf
dc.contributor.authorKrolzig, Hans-Martin
dc.contributor.authorLütkepohl, Helmut
dc.date.accessioned2017-06-15T21:18:45Z
dc.date.available2017-06-15T21:18:45Z
dc.date.created2005-10-12
dc.date.issued2002-10-22
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4188
dc.description.abstractThe objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets. Different measures of the possible gains of model selection are considered: (i) the chances of finding the ‘correct’ model, that is, a model which contains all necessary right-hand side variables and is as parsimonious as possible, (ii) the accuracy of the implied impulse-responses and (iii) the forecast performance of the models obtained with different specification algorithms. In the Monte Carlo experiments, the procedures recover the DGP specification from a large VAR with anticipated size and power close to commencing from the DGP itself when evaluated at the empirical size. We find that subset strategies and PcGets are close competitors in many respects, with the forecast comparison indicating a clear advantage of the PcGets algorithm.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectvector autoregressioneng
dc.subjectmodel selectioneng
dc.subjectsubset modeleng
dc.subjectlag order determinationeng
dc.subject.ddc330 Wirtschaft
dc.titleComparison of Model Reduction Methods for VAR Processes
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10049523
dc.identifier.doihttp://dx.doi.org/10.18452/3536
local.edoc.pages20
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2002
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2002,80

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