Journal of Statistical Research of Iran
مجلهی پژوهشهای آماری ایران
JSRI
Basic Sciences
http://jsri.srtc.ac.ir
1
admin
2538-5771
2538-5763
8
10.52547/jsri
14
8888
13
en
jalali
1399
5
1
gregorian
2020
8
1
17
1
online
1
fulltext
en
Vector Autoregressive Model Selection: Gross Domestic Product and Europe Oil Prices Data Modelling
عمومى
General
كاربردي
Applicable
فارسی
<span style="font-size:11pt"><span style="line-height:normal"><span style="font-family:Calibri,sans-serif"><span style="font-size:12.0pt"><span new="" roman="" style="font-family:" times=""> 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, Brent, and the real gross domestic product, GDP, data are considered as real data. Since the Brent data does Granger-cause the GDP data, so we suggest the vector autoregressive model and select optimal model based on the model selection test. The analysis provides analytic results show that the Vuong's, Cox's and proposed test are the appropriate test for order and model selection for vector autoregressive models with Normal innovation. In simulation study, the power of proposed test at least is as good as the power of Vuong's test.</span></span></span></span></span><br>
Cox's test, maximum likelihood estimation, mis-specified model, nested models, vector autoregressive model, Vuong's test.
63
94
http://jsri.srtc.ac.ir/browse.php?a_code=A-10-190-10&slc_lang=en&sid=1
S.
Zamani Mehreyan
زمانی
zamani@sci.ikiu.ac.ir
`10031947532846002421`

10031947532846002421
No
Imam Khomeini International University, zamani@sci.ikiu.ac.ir
Abdolreza
Sayyareh
عبدالرضا
سیاره
a.sayyareh@kntu.ac.ir
`10031947532846002422`

10031947532846002422
Yes
K. N. Toosi University of Technology