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Econometric Reviews Volume 36, 2017 - Issue 1-3
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Original Articles

Lag length selection in panel autoregression

Chirok HanKorea University
,
Peter C. B. PhillipsYale University, New Haven, CT, USA, University of Auckland, University of Southampton and Singapore Management UniversityCorrespondence[email protected]
&
Donggyu SulUniversity of Texas at Dallas, Dallas, Texas, USA
Pages 225-240 | Published online: 01 Mar 2016

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Jilin Wu, Xiaojun Song & Zhijie Xiao. (2023) Testing for Trend Specifications in Panel Data Models. Journal of Business & Economic Statistics 41:2, pages 453-466.
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Ryan Greenaway-McGrevy. (2020) Multistep forecast selection for panel data. Econometric Reviews 39:4, pages 373-406.
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Andrea Cipollini & Fabio Parla. (2018) Credit demand and supply shocks in Italy during the Great Recession. Applied Economics 50:53, pages 5795-5813.
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Thi Anh-Dao Tran, Minh Hong Phi & Diadié Diaw. (2017) Export diversification and real exchange rate in emerging Latin America and Asia: A South–North vs. South-South decomposition. The Journal of International Trade & Economic Development 26:6, pages 649-676.
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Esfandiar Maasoumi & Robin Sickles. (2017) Peter Schmidt: Econometrician and consummate professional. Econometric Reviews 36:1-3, pages 1-5.
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Sy-Hoa Ho, Rim Oueghlissi & Riadh El Ferktaji. (2023) Testing for Causality Between Economic Growth and Environmental, Social, and Governance Performance: New Evidence from a Global Sample. Journal of the Knowledge Economy.
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VASCO J. GABRIEL, IOANNIS LAZOPOULOS & DIANA LIMA. (2022) Institutional Arrangements and Inflation Bias: A Dynamic Heterogeneous Panel Approach. Journal of Money, Credit and Banking 55:1, pages 43-76.
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ChaeWon Baek & Byoungchan Lee. (2022) A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations*. Oxford Bulletin of Economics and Statistics 84:5, pages 1101-1122.
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Snezana Eminidou, Marios Zachariadis & Elena Andreou. (2019) Inflation Expectations and Monetary Policy Surprises*. The Scandinavian Journal of Economics 122:1, pages 306-339.
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Ryan Greenaway-McGrevy. (2018) ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING. Econometric Theory 35:4, pages 842-899.
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Brendan Epstein, Alan Finkelstein Shapiro & Andrés González Gómez. (2019) Global financial risk, aggregate fluctuations, and unemployment dynamics. Journal of International Economics 118, pages 351-418.
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Doriana Cucinelli, Maria Luisa Di Battista, Malvina Marchese & Laura Nieri. (2018) Credit risk in European banks: The bright side of the internal ratings based approach. Journal of Banking & Finance 93, pages 213-229.
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Preeya S. Mohan, Bazoumana Ouattara & Eric Strobl. (2018) Decomposing the Macroeconomic Effects of Natural Disasters: A National Income Accounting Perspective. Ecological Economics 146, pages 1-9.
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Yaofu Ouyang & Peng Li. (2018) On the nexus of financial development, economic growth, and energy consumption in China: New perspective from a GMM panel VAR approach. Energy Economics 71, pages 238-252.
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Ronald Butler & Marc Paolella. (2017) Autoregressive Lag—Order Selection Using Conditional Saddlepoint Approximations. Econometrics 5:3, pages 43.
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Ryan Greenaway-McGrevy. (2019) Multistep Forecast Selection for Panel Data. SSRN Electronic Journal.
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Manuel Frondel, Colin Vance & Alexander Kihm. (2015) Time Lags in the Pass-Through of Crude-Oil Prices Big Data Evidence from the German Gasoline Market. SSRN Electronic Journal.
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Wei Xie. (2015) Spatial Panel VAR and Application to Forecast Influenza Incidence Rates of US States. SSRN Electronic Journal.
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Yoonseok Lee & Peter C. B. Phillips. (2013) Model Selection in the Presence of Incidental Parameters. SSRN Electronic Journal.
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