Order determination in general vector autoregressions

Bent Nielsen

No 2001-W10, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. It is shown that these methods can be used regardless of the assumption to the characteristic roots.

Pages: 14 pages
Date: 2001-07-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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