A new method to choose optimal lag order in stable and unstable VAR models
(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:
https://lup.lub.lu.se/record/900505
- author
- Hatemi-J, Abdulnasser LU
- organization
- publishing date
- 2003
- 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}}, }