G2TT
来源类型Discussion paper
规范类型论文
来源IDDP2713
DP2713 Macroeconomic Effects of Regulation and Deregulation in Goods and Labour Markets
olivier blanchard; Francesco Giavazzi
发表日期2001-02-27
出版年2001
语种英语
摘要An important preliminary step in impulse response analysis is to select the vector autoregressive (VAR) lag order from the data, yet little is known about the implications of alternative lag order selection criteria for the accuracy of the impulse response estimates. In this Paper, we compare the criteria most commonly used in applied work in terms of the mean-squared error of the implied impulse response estimates. We conclude that for monthly VAR models, the Akaike Information Criterion (AIC) produces the most accurate structural and semi-structural impulse response estimates for realistic sample sizes. For quarterly VAR models, the Hannan-Quinn Criterion (HQC) appears to be the most accurate criterion with the exception of sample sizes smaller than 120, for which the Schwarz Information Criterion (SIC) is more accurate. For persistence profiles based on quarterly vector error correction (VEC) models, the SIC is the most accurate criterion for all realistic sample sizes. Sequential Lagrange-multiplier and likelihood ratio tests cannot be recommended.
主题International Macroeconomics
关键词Impulse responses Model selection Var Vec Lag orders
URLhttps://cepr.org/publications/dp2713
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/531771
推荐引用方式
GB/T 7714
olivier blanchard,Francesco Giavazzi. DP2713 Macroeconomic Effects of Regulation and Deregulation in Goods and Labour Markets. 2001.
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