Consider the growth rates, in percentages, of the quarterly real GDP of United Kingdom, Canada, and the

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Consider the growth rates, in percentages, of the quarterly real GDP of United Kingdom, Canada, and the United States used in the chapter. Fit a VAR(4) model to the series, simplify the model by removing insignificant parameters with type I error \(\alpha=0.05\), and perform model checking. Finally, compare the simplified VAR(4) model with the simplified VAR(2) model.

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