Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features

Carlos Carrasco-Gutierrez, Reinaldo Castro Souza and Osmani Guillén

Brazilian Review of Econometrics, 2009, vol. 29, issue 1

Abstract: An important aspect of empirical research based on the vector autoregres- sive (VAR) model is the choice of the lag order, since all inferences in this model depend on the correct model speciÖcation. There have been many studies of how to select the lag order of a nonstationary VAR model subject to cointegration restrictions. In this work, we consider in the model an addi- tional weak form (WF) restriction of common cyclical features to analyze the appropriate way to select the correct lag order. We use two methodologies: the traditional information criteria (AIC, HQ and SC) and an alternative cri- terion (IC(p;s)) that selects the lag order p and the rank structure s due to the WF restriction. We use a Monte-Carlo simulation in the analysis. The results indicate that the cost of ignoring additional WF restrictions in vector autoregressive modeling can be high, especially when the SC criterion is used

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://periodicos.fgv.br/bre/article/view/2696 (text/html)

Related works:
Working Paper: Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features (2009)
Working Paper: Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features (2009)
Working Paper: Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features (2009)
Working Paper: Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:29:y:2009:i:1:a:2696

Access Statistics for this article

Brazilian Review of Econometrics is currently edited by Daniel Monte

More articles in Brazilian Review of Econometrics from Sociedade Brasileira de Econometria - SBE Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().