Advanced Search
MyIDEAS: Login to save this article or follow this journal

Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH

Contents:

Author Info

  • R. Scott Hacker
  • Abdulnasser Hatemi-J

Abstract

The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz-Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes. The Monte Carlo simulation results show that SBC has relatively better performance in lag-choice accuracy in many situations. It is also generally the least sensitive to ARCH regardless of stability or instability of the VAR model, especially in large sample sizes. These appealing properties of SBC make it the optimal criterion for choosing lag length in many situations, especially in the case of financial data, which are usually characterized by occasional periods of high volatility. SBC also has the best forecasting abilities in the majority of situations in which we vary sample size, stability, variance structure (ARCH or not), and forecast horizon (one period or five). frequently, AICC also has good lag-choosing and forecasting properties. However, when ARCH is present, the five-period forecast performance of all criteria in all situations worsens.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.tandfonline.com/doi/abs/10.1080/02664760801920473
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.

Volume (Year): 35 (2008)
Issue (Month): 6 ()
Pages: 601-615

as in new window
Handle: RePEc:taf:japsta:v:35:y:2008:i:6:p:601-615

Contact details of provider:
Web page: http://www.tandfonline.com/CJAS20

Order Information:
Web: http://www.tandfonline.com/pricing/journal/CJAS20

Related research

Keywords: VAR; lag length; information criteria; Monte Carlo simulations; ARCH; stability;

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Bruns, Stephan B. & Gross, Christian & Stern, David I., 2013. "Is There Really Granger Causality Between Energy Use and Output?," FCN Working Papers 11/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
  2. Bouoiyour, Jamal & Selmi, Refk, 2013. "Commodity Price Uncertainty and Manufactured Exports in Morocco and Tunisia: Some Insights from a Novel GARCH Model," MPRA Paper 53412, University Library of Munich, Germany, revised Nov 2013.
  3. Michaelides, Panayotis G. & Papageorgiou, Theofanis & Vouldis, Angelos T., 2013. "Business cycles and economic crisis in Greece (1960–2011): A long run equilibrium analysis in the Eurozone," Economic Modelling, Elsevier, vol. 31(C), pages 804-816.
  4. Theofanis Papageorgiou & Panayotis G. Michaelides & John G. Milios, 2011. "Technology and economic fluctuations in the US food sector (1958-2006): An empirical approach from a political economy perspective," International Journal of Social Economics, Emerald Group Publishing, vol. 38(2), pages 140-164, January.
  5. Jamal Bouoiyour & Refk Selmi, 2014. "Commodity price uncertainty and manufactured exports in Morocco and Tunisia: Some insights from a novel GARCH model," Economics Bulletin, AccessEcon, vol. 34(1), pages 220-233.

Lists

This item is featured on the following reading lists or Wikipedia pages:
  1. Vector autoregression in Wikipedia English ne '')
  2. Vektör otoregresyon in Wikipedia Turkish ne '')
  3. مدل بردارهای خودبرگشتی in Wikipedia Persian ne '')
  4. Векторна авторегресія in Wikipedia Ukranian ne '')

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:35:y:2008:i:6:p:601-615. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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