Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH

DOI10.1080/02664760801920473zbMath1147.62073OpenAlexW2065579105WikidataQ57253696 ScholiaQ57253696MaRDI QIDQ3532696

R. Scott Hacker, Abdulnasser Hatemi-J

Publication date: 28 October 2008

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760801920473

zbMATH Keywords

stabilityMonte Carlo simulationsVARARCHinformation criterialag length

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

Related Items (5)

Causality in extremes of time series ⋮ Discrepancy in regression estimates between log-normal and gamma: some case studies ⋮ Comparison of procedures for fitting the autoregressive order of a vector error correction model ⋮ Influence diagnostics in a vector autoregressive model ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models

Cites Work

• Estimating the dimension of a model
• Regression and time series model selection in small samples
• A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
• A new look at the statistical model identification

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