A comparison of lag structure specification methods in VAR models

A comparison of lag structure specification methods in VAR models

The selection of lag lengths for VAR models is addressed. Specifying the correct lag length is important because estimated VAR models with lag lengths different from the true model are misspecified.

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Bibliographic Details
Published in:Atlantic economic journal Vol. 25; no. 2; p. 222
Main Author: Ozcicek, Omer
Format: Journal Article
Language:English
Published: New York International Atlantic Economic Society 01-06-1997
Springer
Springer Nature B.V
Series:Atlantic Economic Journal
Subjects:
Analysis
Economic lag
Economic models
Regression analysis
Studies
Online Access:Get full text
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Description
Summary:The selection of lag lengths for VAR models is addressed. Specifying the correct lag length is important because estimated VAR models with lag lengths different from the true model are misspecified.
ISSN:0197-4254
1573-9678
DOI:10.1007/BF02298388