Vector autoregression models have become widely used research tools in the analysis of macroeconomic time series. Cointegrated techniques are an essential part of empirical macroeconomic research. They infer causal long-run relationships between nonstationary variables. In this study, six information criteria were reviewed and compared. The methods focused on determining the optimum information criteria for detecting the correct lag structure of a two-variable cointegrated process.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:nmmu/vital:10570 |
| Date | January 2008 |
| Creators | He, Wei |
| Publisher | Nelson Mandela Metropolitan University, Faculty of Science |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis, Masters, MSc |
| Format | vii, 97 leaves, pdf |
| Rights | Nelson Mandela Metropolitan University |
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