HJC: OCTAVE module to Determine the Optimal Lag Order in A VAR Model by Minimizing a New Information Criterion

Abdulnasser Hatemi-J and Alan Mustafa

Statistical Software Components from Boston College Department of Economics

Abstract: This Octave module provides the optimal lag order in a Vector Autoregressive (VAR) model based on the minimization of an information criterion suggested by Hatemi-J (2003, 2008). Simulation results show that this information criterion is successful in correctly finding the optimal lag order if the underlying variables are integrated. It is also robust to ARCH effects and it has good forecasting properties. For technical description see the following articles. Hatemi-J, A. (2003) A new method to choose optimal lag order in stable and unstable VAR models, Applied Economics Letters, vol. 10(3), 135-137. Hatemi-J, A. (2008) Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models, Applied Economics Letters, vol. 15(4), 239-243.

Language: Octave
Requires: Octave
Keywords: VAR; lag order; information criterion (search for similar items in EconPapers)
Date: 2017-02-25
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