Abstract
In this chapter we explain how to use the dominance ordering and the likelihood dominance criteria introduced by Pollack and Wales (1991) as model selection devices in Structural VAR analysis1. In section 7.1 we recall the main aspects of model selection and we connect this issue directly to the Structural VAR framework. The next two sections are devoted to explaining the above mentioned model selection criteria.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 1997 Springer-Verlag Berlin · Heidelberg
About this chapter
Cite this chapter
Amisano, G., Giannini, C. (1997). Model selection in Structural VAR analysis. In: Topics in Structural VAR Econometrics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-60623-6_7
Download citation
DOI: https://doi.org/10.1007/978-3-642-60623-6_7
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-64481-8
Online ISBN: 978-3-642-60623-6
eBook Packages: Springer Book Archive