TY - JOUR
T1 - Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models
AU - Hatemi-J, Abdulnasser
PY - 2008/3
Y1 - 2008/3
N2 - This simulation study investigates the forecasting performance of a new information criterion suggested by Hatemi-J (2003) to pick the optimal lag length in the stable and unstable vector autregression (VAR) models. The conducted Monte Carlo experiments reveal that this information criterion is successful in selecting the optimal lag order in the VAR model when the main aim is to draw ex-ante (forecasting) inference regardless if the VAR model is stable or not. In addition, the simulations indicate that this information criterion is robust to autoregressive conditional heteroskedasticity effects.
AB - This simulation study investigates the forecasting performance of a new information criterion suggested by Hatemi-J (2003) to pick the optimal lag length in the stable and unstable vector autregression (VAR) models. The conducted Monte Carlo experiments reveal that this information criterion is successful in selecting the optimal lag order in the VAR model when the main aim is to draw ex-ante (forecasting) inference regardless if the VAR model is stable or not. In addition, the simulations indicate that this information criterion is robust to autoregressive conditional heteroskedasticity effects.
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U2 - 10.1080/13504850500461613
DO - 10.1080/13504850500461613
M3 - Article
AN - SCOPUS:40049095537
VL - 15
SP - 239
EP - 243
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 4
ER -