IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v31y1999i4p517-524.html
   My bibliography  Save this article

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

Author

Listed:
  • Omer Ozcicek
  • W. DOUGLAS McMILLIN

Abstract

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, SIC, Phillips' Posterior Information Criterion, and Keating's modification of the AIC and SIC. 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.

Suggested Citation

  • Omer Ozcicek & W. DOUGLAS McMILLIN, 1999. "Lag length selection in vector autoregressive models: symmetric and asymmetric lags," Applied Economics, Taylor & Francis Journals, vol. 31(4), pages 517-524.
    • Handle: RePEc:taf:applec:v:31:y:1999:i:4:p:517-524
    DOI: 10.1080/000368499324237
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/000368499324237
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/000368499324237?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Peter C.B. Phillips, 1994. "Model Determination and Macroeconomic Activity," Cowles Foundation Discussion Papers 1083, Cowles Foundation for Research in Economics, Yale University.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
    2. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation for Research in Economics, Yale University.
    3. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
    4. Xiaojie Xu, 2020. "Corn Cash Price Forecasting," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(4), pages 1297-1320, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:31:y:1999:i:4:p:517-524. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.