Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System
By R. Brüggemann, Helmut Lütkepohl. 2000
125 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/f313adaa9c69f70e91a2778b5f415f1b50177246
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In Economics and Econometrics
Citations in the corpus
- Interaction of European Carbon Trading and Energy Prices (2007, methodology): “…(5) with the software jmulti (Lütkepohl and Krätzig, 2004) using 3SLS and eliminate the non-significant coefficients through a recursive procedure, i.e. sequentially excluding the regressors with the lowest t-ratio and ultimately minimising the HQ criterion (see Brüggemann and Lütkepohl, 2001).”
- Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses (2006, background): “See Brüggemann and Lütkepohl (2001) – among others – for a discussion about the advantages of SUBSET–VAR models.”
- CO2 emissions, energy consumption and economic growth in Tunisia (2008, unknown): “…a sequential elimination strategy test to delete those regressors in the VECM (all the loading coefficients and Γi parameters) with the smallest absolute values of t-ratios until all t-ratios (in absolute value) are greater than some specified threshold value (Brüggemann and Lütkepohl, 2001).”