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Lag-length selection in VAR-models using equal and unequal lag-length procedures
Dept. of Economic Statistics, Stockholm School of Economics, Stockholm, Sweden.
Dept. of Economic Statistics, Stockholm School of Economics, Stockholm, Sweden. (Stat@oru)ORCID iD: 0000-0003-0203-4688
1999 (English)In: Computational statistics (Zeitschrift), ISSN 0943-4062, E-ISSN 1613-9658, Vol. 14, no 2, 171-187 p.Article in journal (Refereed) Published
Abstract [en]

It is well known that inference in vector autoregressive models depends crucially on the choice of lag-length. Various lag-length selection procedures have been suggested and evaluated in the literature. In these evaluations the possibility that the true model may have unequal lag-length has, however, received little attention. In this paper we investigate how sensitive lag-length estimation procedures, based on assumptions of equal or unequal lag-lengths, are to the true model structure. The procedures used in the paper are based on information criteria and we give results for AIC, HQ and BIG. In the Monte Carlo study we generate data from a variety of VAR models with properties similar to macro-economic time-series. We find that the commonly used procedure based on equal lag-length together with AIC and HQ performs well in most cases. The procedure (due to Hsiao) allowing for unequal lag-lengths produce reasonable results when the true model has unequal lag-length. The Hsiao procedure tend to do better than equal lag-length procedures in models with a more complicated lag structure.

Place, publisher, year, edition, pages
Physica Verlag, 1999. Vol. 14, no 2, 171-187 p.
Keyword [en]
Vector autoregression, Order selection, Information Criteria, Monte Carlo simulation
National Category
Probability Theory and Statistics Economics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-61127ISI: 000081487000002Scopus ID: 2-s2.0-0033456543OAI: oai:DiVA.org:oru-61127DiVA: diva2:1144105
Available from: 2017-09-25 Created: 2017-09-25 Last updated: 2017-09-26Bibliographically approved

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Karlsson, Sune

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