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

Abdulnasser Hatemi-J

Research output: Contribution to journalArticlepeer-review

113 Citations (SciVal)

Abstract

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.
Original languageEnglish
Pages (from-to)135-137
JournalApplied Economics Letters
Volume10
Issue number3
DOIs
Publication statusPublished - 2003

Subject classification (UKÄ)

  • Probability Theory and Statistics

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