A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis

DOI10.2202/1558-3708.1219MaRDI QIDQ3368370zbMATH OpenOpenAlexFDO

Authors Ventzislav Ivanov, Lutz Kilian

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1219

zbMATH Keywords

impulse responsesinformation criterialikelihood ratio testsmodel selectionportmanteau tests

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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• Developing equity release markets: risk analysis for reverse mortgages and home reversions
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• Natural disasters as macroeconomic tail risks
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