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

Hatemi-J, Abdulnasser LU (2003) In Applied Economics Letters 10(3). p.135-137
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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Applied Economics Letters
volume
10
issue
3
pages
135 - 137
publisher
Routledge
external identifiers
  • wos:000182238200003
  • scopus:0037430387
ISSN
1466-4291
DOI
10.1080/1350485022000041050
language
English
LU publication?
yes
id
a9d3888d-0857-40b3-a42c-3fdd1c323d85 (old id 900505)
date added to LUP
2016-04-01 11:39:12
date last changed
2022-04-28 17:49:44
@article{a9d3888d-0857-40b3-a42c-3fdd1c323d85,
  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.}},
  author       = {{Hatemi-J, Abdulnasser}},
  issn         = {{1466-4291}},
  language     = {{eng}},
  number       = {{3}},
  pages        = {{135--137}},
  publisher    = {{Routledge}},
  series       = {{Applied Economics Letters}},
  title        = {{A new method to choose optimal lag order in stable and unstable VAR models}},
  url          = {{http://dx.doi.org/10.1080/1350485022000041050}},
  doi          = {{10.1080/1350485022000041050}},
  volume       = {{10}},
  year         = {{2003}},
}