Advanced search
Publication Cover
Applied Economics Letters Volume 15, 2008 - Issue 4
Submit an article Journal homepage
416
Views
73
CrossRef citations to date
0
Altmetric
Original Articles

Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models

Abdulnasser Hatemi-J Department of Business and Management, University of Kurdistan-Hawler, Department of Economics and Finance, University of Sköude, P.O. Box 408, SE-54128, Sköude, Sweden E-mail: [email protected]@stat.lu.se
Pages 239-243 | Published online: 25 Feb 2008

References

  • Akaike , H . 1969 . Fitting autoregressions for prediction . Annales of the Institute of Statistical Mathematics , 21 : 243 – 7 .
  • Hannan , EJ and Quinn , BG . 1979 . The determination of the order of an autoregressive . Journal of the Royal Statistical Society , B41 : 190 – 5 .
  • Hatemi-J , A . 2003 . A new method to determine optimal lag order in stable and unstable VAR models . Applied Economics Letters , 10 : 135 – 7 .
  • Hatemi-J , A . 2004 . Multivariate tests for autocorrelation in the stable and unstable VAR models . Economic Modelling , 21 : 661 – 83 .
  • 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 , Department of Economics, University of Oxford .
  • Schwarz , G . 1978 . Estimation the dimension of a model . Annales of Statistics , 6 : 461 – 4 .
  • Sims , C . 1980 . Macroeconomics and reality? . Econometrica , 48 : 1 – 18 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.