Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/222929 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Oxford Bulletin of Economics and Statistics [ISSN:] 0305-9049 [Issue:] 4 [Publisher:] Wiley [Place:] Hoboken [Year:] 80 [Pages:] 715-735
Verlag: 
Wiley, Hoboken
Zusammenfassung: 
The performance of information criteria and tests for residual heteroscedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the selection criteria, using them is recommended because they can reduce the mean squared error of impulse response estimates substantially relative to a model that is chosen arbitrarily based on the personal preferences of a researcher. Heteroscedasticity tests are found to be useful tools for deciding whether time-varying volatility is present but do not discriminate well between different types of volatility changes. The selection methods are illustrated by specifying a model for the global market for crude oil.
Schlagwörter: 
time series analysis
DOI der veröffentlichten Version: 
Dokumentart: 
Article
Dokumentversion: 
Accepted Manuscript (Postprint)

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.