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Original Articles

A new method to choose optimal lag order in stable and unstable VAR models

Pages 135-137 | Published online: 06 Oct 2010

References

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  • Hacker , S. and Hatemi-J , A. 2001 . Optimal lag length choice in the stable and unstable VAR models under situations of homoscedasticity and heteroscedasticity unpublished manuscript
  • Lütkepohl , H. 1985 . Comparison of criteria for estimating the order of a vector autoregressive process . Journal of Time Series Analysis , 6 : 35 – 52 .
  • Lütkepohl , H. 1991 . Introduction to Multiple Time Series Analysis , Berlin : Springer-Verlag .
  • Nielsen , B. 2001 . Weak Consistency of Criterions of Order Determination in a General Vector Autoregression , Oxford : Oxford University Press .
  • Schwarz , G. 1978 . Estimating the dimension of a model . Annals of Statistics , 6 : 461 – 464 .
  • Sims , C. 1980 . Macroeconomics and reality? . Econometrica , 48 : 1 – 18 .

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