Ändra sökning
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Can the LR Test Be Helpful in Choosing the Otpimal Lag Order in the VAR Model When Information Criteria Suggest Different Lag Orders?
Economics, UAE University.
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
2009 (Engelska)Ingår i: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 41, nr 9, s. 1121-1125Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

The objective of this simulation study is to investigate whether the likelihood ratio (LR) test can pick the optimal lag order in the vector autoregressive model when the most applied information criteria (i.e. vector Schwarz--Bayesian, SBC and vector Hannan-Quinn, HQC) suggest two different lag orders. This lag-choosing procedure has been suggested by Hatemi-J (1999). The results based on the Monte Carlo simulations show that combining the LR test with SBC and HQC causes a substantial increase in the success rate of choosing the optimal lag order compared to cases when only SBC or HQC are used. This appears to be the case irrespective of homoscedasticity or conditional heteroscedasticity properties of the error-term in small sample sizes. This improvement in choosing the right lag order also tends to improve the forecasting capability of the underlying model.

Ort, förlag, år, upplaga, sidor
2009. Vol. 41, nr 9, s. 1121-1125
Nyckelord [en]
VAR, Lag length, Information Criteria, Monte Carlo Simulations, Likelihood Ratio Test
Nationell ämneskategori
Nationalekonomi
Identifikatorer
URN: urn:nbn:se:hj:diva-5396DOI: doi:10.1080/00036840601019273OAI: oai:DiVA.org:hj-5396DiVA, id: diva2:36216
Tillgänglig från: 2008-03-05 Skapad: 2008-03-05 Senast uppdaterad: 2017-12-12Bibliografiskt granskad

Open Access i DiVA

Fulltext saknas i DiVA

Övriga länkar

Förlagets fulltexthttp://www.informaworld.com/smpp/content~content=a783866758?words=hacker&hash=3164691225

Personposter BETA

Hacker, R Scott

Sök vidare i DiVA

Av författaren/redaktören
Hacker, R Scott
Av organisationen
IHH, Nationalekonomi
I samma tidskrift
Applied Economics
Nationalekonomi

Sök vidare utanför DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetricpoäng

doi
urn-nbn
Totalt: 566 träffar
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf