Abstract
In this chapter we discuss alternative model reduction strategies for the specification of subset VAR models. Before we present a number of subset modeling procedures in Section 2.2, we start by introducing the basics of the VAR modeling framework in Section 2.1. We propose a number of evaluation criteria and compare the properties of different model reduction methods by means of an extensive Monte Carlo study and discuss the results in Section 2.3. Finally, Section 2.4 summarizes the main results.
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© 2004 Springer-Verlag Berlin Heidelberg
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Brüggemann, R. (2004). Model Reduction in VAR Models. In: Model Reduction Methods for Vector Autoregressive Processes. Lecture Notes in Economics and Mathematical Systems, vol 536. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-17029-4_2
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DOI: https://doi.org/10.1007/978-3-642-17029-4_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-20643-9
Online ISBN: 978-3-642-17029-4
eBook Packages: Springer Book Archive