Abdolreza Sayyareh

[ 1 ] - Vector Autoregressive Model Selection: Gross Domestic Product and Europe Oil Prices Data Modelling

 We consider the problem of model selection in vector autoregressive model with Normal innovation. Tests such as Vuong's and Cox's tests are provided for order and model selection, i.e. for selecting the order and a suitable subset of regressors, in vector autoregressive model. We propose a test as a modified log-likelihood ratio test for selecting subsets of regressors. The Europe oil prices, ...