Lag-length selection criteria: empirical results from the St. Louis equation
AbstractThis article describes and compares six criteria for determining the lag length of finite distributed lag models. These criteria are employed to select the lag length of the distributed lag variables within the St. Louis equation using a computationally efficient procedure. The lag lengths chosen are tested against each other and against arbitrarily overfitted and underfitted specifications. The results suggest that Akaike's final prediction error criterion and Pagano and Hartley's procedure perform well relative to the other criteria considered.
Download InfoIf 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.
Bibliographic InfoPaper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 1983-008.
Date of creation: 1983
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Juraj Valachy, 2002. "Price Setting in Transition: The Effect of Takeover on a Petroleum Firm," CERGE-EI Working Papers wp197, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anna Xiao).
If references are entirely missing, you can add them using this form.