Template-type: ReDIF-Paper 1.0
Author-Name: Bent Nielsen 
Author-Email: bent.nielsen@nuf.ox.ac.uk
Author-Homepage:http://www.nuff.ox.ac.uk/users/nielsen
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
Title:Order determination in general vector autoregressions
Abstract:
 In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion.  The consistency of such procedures
 has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary.  It is shown that these methods can be used regardless of the assumption to the characteristic roots.
Length:14 pages
Creation-Date: 2001-07-12
Number:2001-W10
File-URL:http://www.nuff.ox.ac.uk/Economics/papers/2001/w10/NielsenOrder.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0110