Economics at your fingertips  

Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions

Alain DeSerres and Alain Guay ()
Authors registered in the RePEc Author Service: Alain de Serres ()

Econometrics from University Library of Munich, Germany

Abstract: The authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long- run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory components to the selection of the lag length required in a VAR system to approximate this MA component. In summary, they find that using a lag structure that is too short can lead to a significant estimation bias of the permanent and transitory components. In addition, in comparing four different lag- selection criteria, they find that the Schwarz information criterion systematically underperforms relative to the other tests. More generally, as the order of the VAR that best approximates the data- generating process increases, the sequence-based tests (Wald, likelihood ratio) tend to provide more reliable results than the information-based tests (Akaike, Schwarz).

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 39 pages
Date: 1995-10-13
Note: 39 printed pages, compressed PostScript file. Other recent Bank of Canada working papers are listed on the last page of this report.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed

Downloads: (external link) (application/pdf) (application/postscript)

Related works:
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:

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().

Page updated 2020-06-27
Handle: RePEc:wpa:wuwpem:9510001