Chapter

Results of the Model Selection Approach

Michio Hatanaka

in Time-Series-Based Econometrics

Published in print January 1996 | ISBN: 9780198773535
Published online November 2003 | e-ISBN: 9780191596360 | DOI: http://dx.doi.org/10.1093/0198773536.003.0009

Series: Advanced Texts in Econometrics

 Results of the Model Selection Approach

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This chapter examines historical data and post-war quarterly data in the USA. Historical data, i.e. real GNP, real wage, real interest rate, and unemployment rate are analysed as real economic variables, to which are added nominal GNP, CPI, stock price, nominal interest rate, and nominal money stock. Post-war data, i.e. GNP, real consumption, real wage, real interest rate, and unemployment rate are analysed, to which are added nominal GNP, CPI, stock price, and nominal money stock. Tests have adopted AR approximations to ARMA models, and the lag orders are determined by t-tests of highest order coefficients.

Keywords: economic data; historical data; post-war data; GNP; CPI; interest rate; unemployment; stock price; consumption; wage

Chapter.  4536 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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