Determination of lag threshold on the measure of collinearity

To date, the implementation of lag selection procedures within the context of unit root tests is largely based on application of standard information criteria which are well-known to have lag selection problem. In this paper, we propose a new lag selection procedure based on collinearity measures fo...

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Veröffentlicht in:	Journal of Statistical and Econometric Methods 2014-01, Vol.3 (3)
Hauptverfasser:	Agunloye Oluokun Kasali, Raghunath, Arnab, Shangodoyin Dahud Kehinde
Format:	Artikel
Sprache:	eng
Schlagworte:	Regression analysis Statistics
Online-Zugang:	Volltext
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