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.
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© 1997 Springer-Verlag Berlin · Heidelberg
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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
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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
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