Ventzislav, Ivanov; Lutz, Kilian - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 1, pp. 1-36
It is common in empirical macroeconomics to fit vector autoregressive (VAR) models to construct estimates of impulse responses. An important preliminary step in impulse response analysis is the selection of the VAR lag order. In this paper, we compare the six lag-order selection criteria most...