RATS program to demonstrate lag length selection techniques in a VAR

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Demonstrates several methods for choosing lag length in a VAR. Among them are LR tests on blocks of lags, general-to-specific lag length testing, and Akaike and Schwarz information criteria. Demonstrates the RATIO instruction and the VARLagSelect procedure.

Language: RATS
Requires: RATS 8.00
Keywords: VAR; lag; length; selection (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/varlag.rpf (text/plain)

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