| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2713 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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