Lag length selection in vector autoregressive models: symmetric and asymmetric lags
Küçük Resim Yok
Tarih
1999
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study used Monte Carlo simulations to study the performance of alternative lag selection criterion for symmetric lag and asymmetric lag vector autoregressive models. Lag models with short lags and with long lags were considered. The alternative criteria considered were the AIC, SIG, Phillips' Posterior Information Criterion, and Keating's modification of the AIC and SIG. The alternative criteria were evaluated by computing;the frequency distribution of lags selected, by computing the out-of-sample forecasting performance of models with lags selected using each criterion, and by comparing the ability of models with lags selected using each criterion to mimic the 'true' impulse response functions for the lag model.
Açıklama
Anahtar Kelimeler
Kaynak
Applied Economics
WoS Q Değeri
Q4
Scopus Q Değeri
Q2
Cilt
31
Sayı
4
