In the past few decades the theory of cointegration has been widely used in the empirical analysis of economic data. The reason is that, it captures the economic notion of a long-run economic relation. One of the problems experienced when applying cointegrated techniques to econometric modelling is the determination of lag lengths for the modelled variables. Applied studies have resulted in contradictory choices for lag length selection. This study reviews and compares some of the well-known information criteria using simulation techniques for bivariate models.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:nmmu/vital:10575 |
| Date | January 2007 |
| Creators | Liu, Limin |
| 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 | v, 103 leaves ; 30 cm, pdf |
| Rights | Nelson Mandela Metropolitan University |
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