Testing the lag length of vector autoregressive models: A power comparison between portmanteau and Lagrange multiplier tests

Raja Ben Hajria, Salah Khardani and Hamdi Raïssi

No 2017-03, Working Papers from Escuela de Negocios y Economía, Pontificia Universidad Católica de Valparaíso

Abstract: In this paper we provide an asymptotic theoretical power comparison in the Bahadur sense, between the portmanteau and Breusch-Godfrey Lagrange Multiplier (LM) tests for the goodness-of-fit checking of vector autoregressive (VAR) models. The merits and the drawbacks of the studied tests are illustrated using Monte Carlo experiments.

Keywords: VAR model; VECM model; Cointegration; Residual autocorrelations; Portmanteau tests; Lagrange Multiplier tests. (search for similar items in EconPapers)
JEL-codes: C01 C22 (search for similar items in EconPapers)
Date: 2017-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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