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A new method to choose optimal lag order in stable and unstable VAR models

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  • A. Hatemi-J

Abstract

A crucial aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inference in the VAR model is based on the chosen lag order. Here, a new information criterion is introduced for this purpose. The conducted Monte Carlo simulation experiments show that this new information criterion performs well in picking the true lag order in stable as well as unstable VAR models.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/1350485022000041050&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 3 ()
Pages: 135-137

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Handle: RePEc:taf:apeclt:v:10:y:2003:i:3:p:135-137

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Cited by:
  1. Hatemi-J, Abdulnasser & Roca, Eduardo D., 2004. "Do birds of the same feather flock together?: The case of the Chinese states equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 281-294, July.
  2. Hatemi-J, Abdulnasser, 2012. "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, vol. 26(2), pages 273-280.
  3. Lukasz Lach, 2010. "Application of Bootstrap Methods in Investigation of Size of the Granger Causality Test for Integrated VAR Systems," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 8(2), pages 167-186.
  4. Oguz Ocal & Ilhan Ozturk & Alper Aslan, 2013. "Coal Consumption and Economic Growth in Turkey," International Journal of Energy Economics and Policy, Econjournals, vol. 3(2), pages 193-198.
  5. Abdulnasser Hatemi-J, 2012. "Asymmetric causality tests with an application," Empirical Economics, Springer, vol. 43(1), pages 447-456, August.
  6. De la Cruz Gallegos, Jose Luis & Ivanova Boncheva, Antonina & Ruiz-Porras, Antonio, 2008. "Competition between Latin America and China for US direct investment," MPRA Paper 8950, University Library of Munich, Germany.
  7. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 539-546.
  8. Kum, Hakan & Ocal, Oguz & Aslan, Alper, 2012. "The relationship among natural gas energy consumption, capital and economic growth: Bootstrap-corrected causality tests from G-7 countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(5), pages 2361-2365.
  9. Hatemi-J, Abdulnasser, 2004. "Multivariate tests for autocorrelation in the stable and unstable VAR models," Economic Modelling, Elsevier, vol. 21(4), pages 661-683, July.
  10. Hatemi, A. & Irandoust, M., 2005. "Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(4), pages 87-98.
  11. Lokman Gunduz & Abdulnasser Hatemi-J, 2005. "Is the tourism-led growth hypothesis valid for Turkey?," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 499-504.
  12. Judith A. Clarke & Mukesh Ralhan, 2005. "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers 0512, Department of Economics, University of Victoria.
  13. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
  14. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2012. "Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries," MPRA Paper 43306, University Library of Munich, Germany.
  15. Yildirim, Ertuğrul & Saraç, Şenay & Aslan, Alper, 2012. "Energy consumption and economic growth in the USA: Evidence from renewable energy," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(9), pages 6770-6774.
  16. R. Scott Hacker & Abdulnasser Hatemi-J, 2005. "A test for multivariate ARCH effects," Applied Economics Letters, Taylor & Francis Journals, vol. 12(7), pages 411-417.
  17. Hatemi-J, Abdulnasser & Uddin, Gazi Salah, 2012. "Is the causal nexus of energy utilization and economic growth asymmetric in the US?," Economic Systems, Elsevier, vol. 36(3), pages 461-469.

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