A new method to choose optimal lag order in stable and unstable VAR models

被引:137
作者
Hatemi-J, A
机构
[1] Lund Univ, Dept Econ, SE-54128 Skovde, Sweden
[2] Univ Skovde, Dept Econ & Polit Sci, SE-54128 Skovde, Sweden
关键词
D O I
10.1080/1350485022000041050
中图分类号
F [经济];
学科分类号
02 [经济学];
摘要
A crucial aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inference in the VAR model is based on the chosen lag order. Here, a new information criterion is introduced for this purpose. The conducted Monte Carlo simulation experiments show that this new information criterion performs well in picking the true lag order in stable as well as unstable VAR models.
引用
收藏
页码:135 / 137
页数:3
相关论文
共 7 条
[1]
HACKER S, 2001, UNPUB OPTIMAL LAG LE
[2]
HANNAN EJ, 1979, J ROY STAT SOC B MET, V41, P190
[3]
Lutkepohl H., 1991, INTRO MULTIPLE TIME
[4]
Lutkepohl H., 1985, J TIME SER ANAL, V6, P35, DOI DOI 10.1111/j.1467-9892.1985.tb00396.x
[5]
NIELSEN B, 2001, WEAK CONSISTENCY CRI
[6]
ESTIMATING DIMENSION OF A MODEL [J].
SCHWARZ, G .
ANNALS OF STATISTICS, 1978, 6 (02) :461-464
[7]
MACROECONOMICS AND REALITY [J].
SIMS, CA .
ECONOMETRICA, 1980, 48 (01) :1-48