Full metadata record

DC FieldValueLanguage
dc.contributor.author정종철ko
dc.contributor.author이현철[이현철]ko
dc.date.accessioned2015-12-17T03:51:29Z-
dc.date.available2015-12-17T03:51:29Z-
dc.date.created2015-11-13-
dc.date.issued201411-
dc.identifier.citationECONOMICS LETTERS, v.125, no.2, pp.167 - 170-
dc.identifier.issn0165-1765-
dc.identifier.urihttp://hdl.handle.net/YU.REPOSITORY/30465-
dc.identifier.urihttp://dx.doi.org/10.1016/j.econlet.2014.08.027-
dc.description.abstractThis paper suggests using a unit t-value criterion in imposing restrictions on lags to formulate a subset vector autoregressive (VAR) model for the purpose of point forecasts. Among any other alternative models nested to the initial VAR model, this less restrictive modeling strategy produces the smallest log determinant of the residual covariance matrix adjusted by degrees of freedom. Each equation of the finally derived subset VAR model has a maximized (R) over bar (2) adjusted by degrees of freedom in samples and consequently a minimized 1-step-ahead prediction error in out-of-samples. The applicability of this modeling strategy is excised to the case of a bivariate VAR model for output growth and inflation. (C) 2014 Elsevier B.V. All rights reserved.-
dc.language영어-
dc.publisherELSEVIER SCIENCE SA-
dc.titleForecasting with a parsimonious subset VAR model-
dc.typeArticle-
dc.identifier.wosid000345542100006-
dc.identifier.scopusid2-s2.0-84907779584-
Appears in Collections:
기초교육대학 > 교양학부 > Articles
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE