Arbeitspapier

Identification of multivariate AR-models by threshold accepting

In econometric modelling the choice of relevant variables is of crucial importance for the Interpretation of the results. In many cases it is based on some a priori knowledge from economic theory and a rather heuristic procedure for determining other influential variables sometimes based on an Information criterion. This paper deals with an automatic method for the identification of relevant variables based solely on an Information criterion. As an example, the identification of multivariate lag structures in AR-models is studied. This issue arises e.g. for large-scale econometric models, for Granger causality tests or the application of Johansen's test for cointegration. The procedure suggested in this paper allows the optimization of the lag structure over the whole set of possible multivariate lag structures with regard to a given information criterion, e.g. the Hannan-Quinn estimator or Akaike's final prediction error criterion. The optimization is performed by the heuristic multiple purpose optimization algorithm Threshold Accepting which proved to be very successful for discrete optimization problems in economics and econometrics. The implementation of Threshold Accepting for subset identification in multivariate AR-models and some Simulation results for a bivariate model are presented.

Sprache
Englisch

Erschienen in
Series: Diskussionsbeiträge - Serie II ; No. 224

Klassifikation
Wirtschaft
Thema
AR-model
Identification
Optimization
Heuristics
Threshold Accepting
Schätztheorie
Statistische Methodenlehre
Theorie

Ereignis
Geistige Schöpfung
(wer)
Winker, Peter
Ereignis
Veröffentlichung
(wer)
Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
(wo)
Konstanz
(wann)
1994

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Winker, Peter
  • Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft

Entstanden

  • 1994

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