Lag length estimation in large dimensional systems

By J. Gonzalo, Jean-Yves Pitarakis. 2002

70 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f05e8467951316cd8b641fd151321e6f920f471b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Statistics and Probability

1. David I. Stern
2. Stephan B. Bruns
3. C. Gross

Citations in the corpus

• Is There Really Granger Causality between Energy Use and Output? (2014, background): “This accords with Gonzalo and Pitarakis’ (2002) finding that over-fitting is less likely in higher dimensional VARs.”
• Testing Twin Deficits Hypothesis using VARs and Variance Decomposition (2006, background): “In addition, the multivariate generalization of AIC remains the best performing criterion as the system dimension increases (see Gonzalo & Pitarakis, 2002).”