An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inferences in this model depend on the correct model speci.cation. There have been many studies of how to select the lag order of a nonstationary VAR model subject...

The aim of this work is to analyze the business cycles of the Mercosur?s member countries in order to investigate their degree of synchronization. The econometric model uses the Beveridge-Nelson-Stock-Watson multivariate trend-cycle decomposition, taking into account the presence of common...