This paper examines the implications of lag structure for estimating the effects of monetary policy shocks in a VAR. A symmetric lag structure in which all variables have the same lag length and an asymmetric lag structure in which the lag length differs across variables but is the same for a...

This study used Monte Carlo simulations to study the performance of alternative lag selection criterion for symmetric lag and asymmetric lag vector autoregressive models. Lag models with short lags and with long lags were considered. The alternative criteria considered were the AIC, SIC,...