Structural change and lag length in VAR models

Mark Thoma

Journal of Macroeconomics, 2008, vol. 30, issue 3, 965-976

Abstract: This paper investigates the relationship between changes in policy rules and changes in the estimated lag length in empirical models. The paper finds that there is a close association between changes in the parameter on the output gap term in the monetary policy rule investigated here and changes in estimated lag length for an associated VAR model.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:30:y:2008:i:3:p:965-976

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