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

Abdulnasser Hatemi-J

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskriftPeer review

113 Citeringar (SciVal)

Sammanfattning

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.
Originalspråkengelska
Sidor (från-till)135-137
TidskriftApplied Economics Letters
Volym10
Utgåva3
DOI
StatusPublished - 2003

Ämnesklassifikation (UKÄ)

  • Sannolikhetsteori och statistik

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