Lag length estimation in large dimensional systems
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Recommendations
- Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
- Selection in VAR-models using equal and unequal lag-length procedures
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
- Comparison of procedures for fitting the autoregressive order of a vector error correction model
- A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
Cites work
Cited in
(10)- Specification via model selection in vector error correction models
- Pitfalls in testing for long run relationships
- A joint test for structural stability and a unit root in autoregressions
- Selection in VAR-models using equal and unequal lag-length procedures
- Estimating the system order by subspace methods
- Estimation of lag length in distributed lag models: a comparative study
- Consistent estimation and order selection for nonstationary autoregressive processes with stable innovations
- Lag length and mean break in stationary VAR models
- High dimensional forecasting via interpretable vector autoregression
- Lag length selection in panel autoregression
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