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Incorporating lag order selection uncertainty in parameter inference for AR models

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  • George Kapetanios

Abstract

Parameter inference on autoregressive models is usually carried out conditionally on a previously selected lag order. In the majority of cases the lag order selection is carried out using information criteria and in particular the Akaike (1973), Schwarz (1978) or Hannan and Quin (1979) criteria. It is well known that the latter two criteria are consistent in lag order selection in the sense of of picking the true order of the system with probability one asymptotically. On the other hand, Akaike's criterion is known to overestimate the lag order in this sense. In this note we discuss the asymptotic distribution, of the parameter estimates without conditioning on the lag order selected.

Suggested Citation

  • George Kapetanios, 2000. "Incorporating lag order selection uncertainty in parameter inference for AR models," National Institute of Economic and Social Research (NIESR) Discussion Papers 167, National Institute of Economic and Social Research.
  • Handle: RePEc:nsr:niesrd:167
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    1. Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(2), pages 163-185, June.
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    Cited by:

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    4. Matija Rojec & Mark Knell, 2018. "Why Is There A Lack Of Evidence On Knowledge Spillovers From Foreign Direct Investment?," Journal of Economic Surveys, Wiley Blackwell, vol. 32(3), pages 579-612, July.
    5. John H. Huston & Roger W. Spencer, 2016. "The Wealth Effects of Quantitative Easing," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 471-486, December.
    6. Rashmi Banga, 2007. "Liberalisation and Wage Inequality In India," Working Papers id:805, eSocialSciences.

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