Lag length selection in vector autoregressive models: symmetric and asymmetric lags

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dc.authoridozcicek, omer/0000-0001-5617-2360
dc.authorwosidozcicek, omer/AAH-9381-2020
dc.contributor.authorOzcicek, O
dc.contributor.authorMcMillin, WD
dc.date.accessioned2024-07-18T20:55:08Z
dc.date.available2024-07-18T20:55:08Z
dc.date.issued1999
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1080/000368499324237
dc.identifier.endpage524en_US
dc.identifier.issn0003-6846
dc.identifier.issue4en_US
dc.identifier.scopus2-s2.0-13044254793en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage517en_US
dc.identifier.urihttps://doi.org/10.1080/000368499324237
dc.identifier.urihttps://hdl.handle.net/11411/8728
dc.identifier.volume31en_US
dc.identifier.wosWOS:000080285400013en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherRoutledgeen_US
dc.relation.ispartofApplied Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.titleLag length selection in vector autoregressive models: symmetric and asymmetric lags
dc.typeArticle

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